Ambit Processes, Their Volatility Determination and Their Applications

José Manuel Corcuera (), Gergely Farkas () and Arturo Valdivia ()
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José Manuel Corcuera: Gran Via Corts Catalanes 585
Gergely Farkas: Gran Via Corts Catalanes 585
Arturo Valdivia: Gran Via Corts Catalanes 585

A chapter in Modern Stochastics and Applications, 2014, pp 245-265 from Springer

Abstract: Abstract In this chapter we try to review the research done so far about ambit processes and their applications. The notion of ambit process was introduced by Barndorff-Nielsen and Schmiegel in 2007. Since then, many papers have been written studying their properties and applying them to model different natural or economic phenomena. As it is shown in the paper, these processes share their mathematical structure with the solutions of random evolution equations allowing them great flexibility for modelling. The goal of this paper is fourfold: to show the main characteristics of these processes; how to determine their main structural component: their volatility; how they can be used for modelling different random phenomena like turbulence or financial prices; and last but not least the mathematics behind.

Keywords: Electricity Market; Bond Price; Spot Price; Arbitrage Opportunity; Spot Prex (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-3-319-03512-3_14

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DOI: 10.1007/978-3-319-03512-3_14

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