英文标题：
《Modelling energy spot prices by volatility modulated L\\\'{e}vy-driven
  Volterra processes》
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作者：
Ole E. Barndorff-Nielsen, Fred Espen Benth, Almut E. D. Veraart
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最新提交年份：
2013
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英文摘要：
  This paper introduces the class of volatility modulated L\\\'{e}vy-driven Volterra (VMLV) processes and their important subclass of L\\\'{e}vy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled directly in stationarity. Second, stochastic volatility is regarded as a key factor for modelling energy spot prices. Third, the model allows for the possibility of jumps and extreme spikes and, lastly, it features great flexibility in terms of modelling the autocorrelation structure and the Samuelson effect. We provide a detailed analysis of the probabilistic properties of VMLV processes and show how they can capture many stylised facts of energy markets. Further, we derive forward prices based on our new spot price models and discuss option pricing. An empirical example based on electricity spot prices from the European Energy Exchange confirms the practical relevance of our new modelling framework.
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中文摘要：
本文介绍了一类波动率调制的L{e}vy驱动的Volterra（VMLV）过程及其重要的L{e}vy半平稳（LSS）过程子类，作为能源现货价格建模的新框架。主要的建模思想包括四个原则：首先，可以直接在平稳性中对去季节化的现货价格进行建模。其次，随机波动性被视为能源现货价格建模的关键因素。第三，该模型考虑了跳跃和极端尖峰的可能性，最后，它在建模自相关结构和萨缪尔森效应方面具有很大的灵活性。我们对VMLV过程的概率特性进行了详细分析，并展示了它们如何捕捉能源市场的许多典型事实。此外，我们根据新的现货价格模型推导远期价格，并讨论期权定价。基于欧洲能源交易所（European Energy Exchange）电力现货价格的实证例子证实了我们新建模框架的实用性。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Statistics Theory        统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics        统计学
二级分类：Statistics Theory        统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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