The Filipović Space and Operators

Fred Espen Benth and Paul Krühner
Additional contact information
Fred Espen Benth: University of Oslo
Paul Krühner: Vienna University of Economics and Business

Chapter Chapter 3 in Stochastic Models for Prices Dynamics in Energy and Commodity Markets, 2023, pp 61-91 from Springer

Abstract: Abstract We present the basic necessary properties of the state space of term structure curves, namely the Filipović space. Particular focus is on the Banach algebra structure and the quasi-contractivity of the shift semigroup. Next, we analyse operators on the Filipović space which are of interest in forward price modelling. This includes operators like Hilbert-Schmidt, nuclear and trace class to define covariance operators, integral operators to define the relation between forward prices with fixed delivery and delivery period, and multiplication operators to model the Samuelson effect. Several concrete examples are discussed.

Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-031-40367-5_3

Ordering information: This item can be ordered from
http://www.springer.com/9783031403675

DOI: 10.1007/978-3-031-40367-5_3

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().