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Derivatives pricing in energy markets: an infinite-dimensional approach. (English) Zbl 1347.60082

60H30 Applications of stochastic analysis (to PDEs, etc.)
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60G60 Random fields
60G51 Processes with independent increments; Lévy processes
91G20 Derivative securities (option pricing, hedging, etc.)
91G80 Financial applications of other theories
Full Text: DOI arXiv
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