Found 13 Documents (Results 1–13)
Exact simulation of normal tempered stable processes of OU type with applications. (English) Zbl 1497.62013
A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (English) Zbl 1484.91451
Correlating Lévy processes with self-decomposability: applications to energy markets. (English) Zbl 1480.91288
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes. (English) Zbl 1475.91363
Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. (English) Zbl 1457.91391
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