Applications of Ambit Fields
Fred E. Benth, Ole E. Barndorff-Nielsen, Almut Veraart
Center of Mathematics for Applications, University of Oslo, Oslo, Norway; Thiele Center, Department of Mathematical Statistics, University of Aarhus, Aarhus, Denmark; CREATES, School of Economics and Management, University of Aarhus, Aarhus, Denmark

Ambit fields are used for turbulence modeling, but turns out to have applications in various other areas, including the modeling of energy and fixed-income markets, and the analysis of stochastic partial differential equations. In this talk we discuss how ambit fields can be connected to the theory of stochastic partial differential equations, and how they may be used as a flexible tool for modeling energy and fixed-income markets.

Keywords: Ambit fields; Stochastic partial differential equations; Energy markets

Biography: Professor of Mathematical Finance at the University of Oslo, with special research interests in energy markets.