Syllabus/achievement requirements

The lectures are based on the book 

Stochastic Modelling of Electricity and Related Markets (World Scientific), by Benth, Saltyte Benth and Koekebakker

In the lecture plan, sections and chapters refer to this book. 

Preliminary syllabus MAT4770, spring 2019. 

Chapter 1: all

Chapter 3: all

Chapter 4: 4.1, 4.3, 4.4

Chapter 6: 6.1, 6.2, 6.3

Chapter 9: Section 9.1 (except page 251, example with NIG and CGMY)

Chapter 10: Sections 10.1, 10.2, 10.3, 10.4.1, 10.4.2 (until end of page 308), 10.4.4

In addition, all exercises and the mandatory assignment are considered part of the syllabus.

It is to be noted that in the book results are stated for independent increment processes. We consider ONLY the special case of compound Poisson processes in this course!