Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (Q2513643): Difference between revisions

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scientific article

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English	Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts	scientific article

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scholarly article

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title

Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts (English)

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Methodology and Computing in Applied Probability

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publication date

28 January 2015

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full work available at URL

https://arxiv.org/abs/1105.5850

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zbMATH Keywords

commodity

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spot price

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stochastic volatility

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milstein

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adaptive Markov chain Monte Carlo

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particle filter

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Rao-Blackwellization

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MaRDI profile type

MaRDI publication profile

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cites work

On the efficiency of adaptive MCMC algorithms

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On the ergodicity properties of some adaptive MCMC algorithms

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Particle Markov Chain Monte Carlo Methods

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On adaptive Markov chain Monte Carlo algorithms

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Wishart processes

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Probabilistic Properties of Stochastic Volatility Models

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Affine processes and applications in finance

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Density approximations for multivariate affine jump-diffusion processes

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Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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An adaptive Metropolis algorithm

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Componentwise adaptation for high dimensional MCMC

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Numerical solution of SDE through computer experiments. Including floppy disk

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Exact simulation of Bessel diffusions

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Factor Multivariate Stochastic Volatility via Wishart Processes

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Optimal scaling for various Metropolis-Hastings algorithms.

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Weak convergence and optimal scaling of random walk Metropolis algorithms

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Valuation of commodity derivatives in a new multi-factor model

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Identifiers

zbMATH Open document ID

1307.91179

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Mathematics Subject Classification ID

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10.1007/S11009-012-9286-7

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Sitelinks

Mathematics(1 entry)

mardi Publication:2513643

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+On the efficiency of adaptive MCMC algorithms
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+On the ergodicity properties of some adaptive MCMC algorithms
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@@ Property / cites work @@
+Particle Markov Chain Monte Carlo Methods
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+Normal rank
@@ Property / cites work @@
+On adaptive Markov chain Monte Carlo algorithms
@@ Property / cites work: On adaptive Markov chain Monte Carlo algorithms / rank @@
+Normal rank
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+Wishart processes
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+Normal rank
@@ Property / cites work @@
+Probabilistic Properties of Stochastic Volatility Models
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@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Density approximations for multivariate affine jump-diffusion processes
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+An adaptive Metropolis algorithm
@@ Property / cites work: An adaptive Metropolis algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Componentwise adaptation for high dimensional MCMC
+Normal rank
@@ Property / cites work @@
+Numerical solution of SDE through computer experiments. Including floppy disk
+Normal rank
@@ Property / cites work @@
+Exact simulation of Bessel diffusions
@@ Property / cites work: Exact simulation of Bessel diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Factor Multivariate Stochastic Volatility via Wishart Processes
+Normal rank
@@ Property / cites work @@
+Optimal scaling for various Metropolis-Hastings algorithms.
+Normal rank
@@ Property / cites work @@
+Weak convergence and optimal scaling of random walk Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Valuation of commodity derivatives in a new multi-factor model
+Normal rank
@@ Property / DOI @@
+.1007/S11009-012-9286-7
@@ Property / DOI: 10.1007/S11009-012-9286-7 / rank @@
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