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Paper / 2020SMQ / 144325741837913
A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
Emanuela Sasso / Matteo Gardini / Piergiacomo Sabino
stochastic processesResource overview

A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets

Paper2020

by Emanuela Sasso, Matteo Gardini, Piergiacomo Sabino

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stochastic processes

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  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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