Stochastic Analysis for Independent Increment Processes

Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker
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Fred Espen Benth: University of Oslo, Norway
Jūratė Šaltytė Benth: University of Oslo, Norway
Steen Koekebakker: University of Agder, Norway

Chapter 2 in Stochastic Modeling of Electricity and Related Markets, 2008, pp 37-57 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:DefinitionsStochastic integration with respect to martingalesRandom jump measures and stochastic integrationThe Lévy-Kintchine decomposition and semimartingalesThe Itô Formula for semimartingalesExamples of independent increment processesTime-inhomogeneous compound Poisson processModels based on the generalized hyperbolic distributionsModels based on the Variance-Gamma and CGMY distributions

Keywords: Electricity Market; Gas Market; Weather Derivatives; Temperature; Energy Market; Mean Reversion; Ornstein–Uhlenbeck Processes; Jump Processes; Levy Processes; Futures Contracts; Forward Contracts; Options (search for similar items in EconPapers)
Date: 2008
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