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q-fin.MF2026
A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
Pere Diaz-Lozano, Thomas K. Kloster
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian no…
q-fin.MF2025
An Ambit Field Framework for the Full Panel of Day-ahead Electricity Prices
Thomas K. Kloster
This paper considers the often overlooked fact that electricity spot prices in individual European generation zones evolve as a high dimensional panel structure. A general continuo…