This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV)
processes and their important subclass of Lévy semistationary (LSS) processes as a new …

This paper presents a new modelling framework for day-ahead electricity prices based on
multivariate Lévy semistationary (MLSS) processes. Day-ahead prices specify the prices for …

This paper develops a stochastic integration theory with respect to volatility modulated Lévy-
driven Volterra (V MLV) processes. It extends recent results in the literature to allow for …

We derive explicit integrability conditions for stochastic integrals taken over time and space
driven by a random measure. Our main tool is a canonical decomposition of a random …

The present paper discusses simulation of Lévy semistationary (LSS) processes in the
context of power markets. A disadvantage of applying numerical integration to obtain …

This paper proposes a multivariate model for commodity forward curves which is based on
multivariate ambit fields. We show how a multivariate ambit field can be used to describe …

This paper generalizes the integration theory for volatility modulated Brownian-driven
Volterra processes onto the space of Potthoff–Timpel distributions. Sufficient conditions for …

Risk premia between spot and forward prices play a key role in energy markets. This paper
derives analytic expressions for such risk premia when spot prices are modelled by Lévy …

This paper studies some probabilistic properties of a Lévy semistationary process when the
kernel is given by φ α, λ s= e− λ ss α φ _ α, λ\left (s\right)= e^-λ ss^ α for α>− 1 and λ> 0. We …

Using integration of deterministic, matrix-valued functions with respect to vector-valued,
volatility modulated Lévy bases, we construct random vector fields on R n. In the statistically …