Friday 14th October, Huxley 139:
1430: Dr. Almut Veraart (Imperial College London),
Title: Ambit Stochastics with Applications to Energy Markets
Abstract: This talk gives a brief introduction into the new area of ambit stochastics, which constitutes a general probabilistic framework for tempo-spatial modelling.Certain classes of random fields and stochastic processes within the framework of ambit stochastics will be presented and their applicability to modelling spot, forward and futures prices from energy markets will be discussed. This is joint work with Ole E. Barndorff-Nielsen (Aarhus University) and Fred Espen Benth (University of Oslo).