94 citations · 268 across the 41 of their papers we have counts for
4 papers · 1 filter
A pricing measure to explain the risk premium in power markets
Fred Espen Benth, Salvador Ortiz-Latorre
In electricity markets, it is sensible to use a two-factor model with mean reversion for spot prices. One of the factors is an Ornstein-Uhlenbeck (OU) process driven by a Brownian…
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework…
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Ole E. Barndorff-Nielsen, Fred Espen Benth, Benedykt Szozda
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions…
Integration theory for infinite dimensional volatility modulated Volterra processes
Fred Espen Benth, André Süß
We treat a stochastic integration theory for a class of Hilbert-valued, volatility-modulated, conditionally Gaussian Volterra processes. We apply techniques from Malliavin calculus…