Author:
Barndorff-Nielsen Ole E.,Benth Fred Espen,Veraart Almut E. D.
Publisher
Springer International Publishing
Reference20 articles.
1. Aïd, R., Campi, L. & Langrené, N. (2013), ‘A structural risk-neutral model for pricing and hedging power derivatives’, Mathematical Finance
23(3), 387–438.
2. Applebaum, D. (2009), Lévy processes and stochastic calculus, Vol. 116 of Cambridge Studies in Advanced Mathematics, second edn, Cambridge University Press, Cambridge. Reprinted 2011 with corrections.
3. Barndorff-Nielsen, O. E., Benth, F. E. & Veraart, A. E. D. (2013a), ‘Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes’, Bernoulli
19(3), 803–845.
4. Barndorff-Nielsen, O. E. & Schmiegel, J. (2009), Brownian semistationary processes and volatility/intermittency, in H. Albrecher, W. Rungaldier & W. Schachermeyer, eds, ‘Advanced Financial Modelling’, Radon Series on Computational and Applied Mathematics 8, W. de Gruyter, Berlin, pp. 1–26.
5. Bennedsen, M. (2017), ‘A rough multi-factor model of electricity spot prices’, Energy Economics
63, 301–313.