T
Thilo Meyer-Brandis
Researcher at Ludwig Maximilian University of Munich
Publications - 60
Citations - 1647
Thilo Meyer-Brandis is an academic researcher from Ludwig Maximilian University of Munich. The author has contributed to research in topics: Stochastic differential equation & Malliavin calculus. The author has an hindex of 18, co-authored 56 publications receiving 1514 citations. Previous affiliations of Thilo Meyer-Brandis include Charles III University of Madrid & University of Oslo.
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A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
TL;DR: In this paper, a mean-reverting model is proposed for the spot price dynamics of electricity which includes seasonality of the prices and spikes, and the dynamics are a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes giving the normal variations and spike behaviour of prices.
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A mean-field stochastic maximum principle via Malliavin calculus
TL;DR: In this article, the authors considered a mean-field type stochastic control problem where the dynamics is governed by a controlled Ito-Levy process and the information available to the controller is possibly less.
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Multi-factor jump-diffusion models of electricity prices
Thilo Meyer-Brandis,Peter Tankov +1 more
TL;DR: In this paper, the sum-OU model was proposed to represent the price as a sum of Levy-driven Ornstein-Uhlenbeck (OU) processes, and a new method for filtering out the different OU components was presented.
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A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s
TL;DR: In this article, a Malliavin calculus based approach is developed to construct solutions of stochastic equations with merely measurable drift coefficients, which can be applied to obtain Sobolev differentiability in the initial condition in addition to Malliavan differentiability of the associated stochastically differential equations.
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The information premium for non-storable commodities
TL;DR: In this article, the authors discuss pricing of forward contracts on non-storable commodities based on an enlargement of the information filtration, and argue that significant parts of the supposedly irregular market price of risk observed in electricity markets is in reality due to information miss-specification in the model.