Browsing by Author "Eyjolfsson, Heidar"

Now showing items 1-7 of 7

  • AMBIT FIELDS VIA FOURIER METHODS IN THE CONTEXT OF POWER MARKETS 
    Eyjolfsson, Heidar (Research report / Forskningsrapport, 2013)
    In their paper Barndorff-Nielsen, Benth and Veraart employ so called Ambit fields to model electricity spot-forward dynamics. We briefly introduce and discuss Ambit fields in the setting of modelling electricity forward ...
  • Approximating Levy semistationary processes via Fourier methods in the context of power markets 
    Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D. (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2014)
    The present paper discusses simulation of Lévy semistationary (LSS) processes in the context of power markets. A disadvantage of applying numerical integration to obtain trajectories of LSS processes is that such a scheme ...
  • APPROXIMATING LÉVY SEMISTATIONARY PROCESSES VIA FOURIER METHODS IN THE CONTEXT OF POWER MARKETS 
    Eyjolfsson, Heidar; Benth, Fred Espen; Veraart, Almut E. D. (Research report / Forskningsrapport, 2013)
    The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...
  • Representation and approximation of ambit fields in Hilbert space 
    Benth, Fred Espen; Eyjolfsson, Heidar (Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)
    We lift ambit fields to a class of Hilbert space-valued volatility modulated Volterra processes. We name this class Hambit fields, and show that they can be expressed as a countable sum of weighted real-valued volatility ...
  • Self-exciting jump processes and their asymptotic behaviour 
    Dahl, Kristina Rognlien; Eyjolfsson, Heidar (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2022)
    The purpose of this paper is to investigate properties of self-exciting jump processes where the intensity is given by an SDE, which is driven by a finite variation stochastic jump process. The value of the intensity process ...
  • Self-Exciting Jump Processes as Deterioration Models 
    Dahl, Kristina Rognlien; Eyjolfsson, Heidar (Chapter / Bokkapittel / PublishedVersion; Peer reviewed, 2021)
    Several different approaches to modelling stochastic deterioration for optimising maintenance have been suggested in the reliability literature. These include component lifetime distributions, which have the disadvantage ...
  • SIMULATION OF VOLATILITY MODULATED VOLTERRA PROCESSES USING HYPERBOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS 
    Eyjolfsson, Heidar; Benth, Fred Espen (Research report / Forskningsrapport, 2013)
    We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...