We introduce a simulation scheme for Brownian semistationary processes, which is based
on discretizing the stochastic integral representation of the process in the time domain. We …

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

Ambit Stochastics has emerged as a new field in probability theory during the last decade.
While there are still many open questions and challenges, we think that the time is right to …

We propose a new method for solving optimal stopping problems (such as American option
pricing in finance) under minimal assumptions on the underlying stochastic process X. We …

Commodities are the most volatile markets, and forecasting their volatility is an issue of
paramount importance. We examine the dynamics of commodity markets volatility by …

This review presents the set of electricity price models proposed in the literature since the
opening of power markets. We focus on price models applied to financial pricing and risk …

We consider the problem of modelling and forecasting the distribution of a vector of prices
from interconnected electricity markets using a flexible class of drawable vine copula …

The class of arithmetic factor models is flexible enough to model all stylized facts occurring
in electricity markets, including negative prices, while still yielding tractable derivative prices …

Recent empirical studies suggest that the volatilities associated with financial time series
exhibit short-range correlations. This entails that the volatility process is very rough and its …

In recent years, the liberalization of energy markets (especially electricity) by many countries
has led to much attention being paid to their modeling. The energy market modeling under …