dc.date.accessioned | 2013-04-25T10:00:29Z | |
dc.date.available | 2013-04-25T10:00:29Z | |
dc.date.issued | 2013 | en_US |
dc.date.submitted | 2013-04-19 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/35412 | |
dc.description.abstract | 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) processes and Levy semistationary (LSS) processes, which is a class of processes that have been employed to model turbulence, tumor growth and electricity forward and spot prices. We will see that our finite difference scheme converges to the solution of the SPDE as we take finer and finer partitions for our finite difference scheme in both time and space. Finally we will consider some examples from the energy finance literature. | nor |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2013). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | SIMULATION OF VOLATILITY MODULATED VOLTERRA PROCESSES USING HYPERBOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2013-04-19 | en_US |
dc.rights.holder | Copyright 2013 The Author(s) | |
dc.creator.author | Eyjolfsson, Heidar | en_US |
dc.creator.author | Benth, Fred Espen | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.cristin | 1023906 | en_US |
dc.identifier.urn | URN:NBN:no-33857 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 178519 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/35412/1/LSShypSPDEPreprint.pdf | |