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英文文献：Modelling energy spot prices by Lévy semistationary processes-利用利维半静态过程建模能源现货价格
英文文献作者：Ole E. Barndorff–Nielsen,Fred Espen Benth,Almut E. D. Veraart
英文文献摘要：
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how they are able to capture many of the stylised facts observed in energy markets. Furthermore, we derive forward prices based on our spot price model. As it turns out, many of the classical spot models can be embedded into our novel modelling framework.
本文提出了一种基于征税半静态过程的能源现货价格模型框架。Levy semi -预备过程是一般范围过程的特殊情况。我们对这些模型的概率特性进行了详细的分析，并展示了它们是如何捕捉到在能源市场中观察到的许多程式化事实的。此外，我们根据我们的现货价格模型推导出远期价格。事实证明，许多经典的spot模型可以嵌入到我们的新建模框架中。
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