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

DOI10.1007/S11009-012-9286-7zbMath1307.91179arXiv1105.5850OpenAlexW2162181429MaRDI QIDQ2513643

Mark Briers, Pavel V. Shevchenko, Gareth W. Peters, Arnaud Doucet

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.5850

zbMATH Keywords

stochastic volatilityparticle filteradaptive Markov chain Monte CarloRao-Blackwellizationspot pricecommoditymilstein

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

On correlated measurement errors in the Schwartz-Smith two-factor model ⋮ On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model

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• Particle Markov Chain Monte Carlo Methods
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