Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela The variance gamma++ process and applications to energy markets. (English) Zbl 07888923 Appl. Stoch. Models Bus. Ind. 38, No. 2, 391-418 (2022). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. (English) Zbl 1484.91451 Appl. Math. Finance 28, No. 2, 178-199 (2021). MSC: 91G15 91B74 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela Correlating Lévy processes with self-decomposability: applications to energy markets. (English) Zbl 1480.91288 Decis. Econ. Finance 44, No. 2, 1253-1280 (2021). MSC: 91G20 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License