Markov models for commodity futures: theory and practice

DOI10.1080/14697680903493599zbMath1202.91309MaRDI QIDQ3063849

Leif B. G. Andersen

Publication date: 15 December 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903493599

zbMATH Keywords

probability theory; pricing models; quantitative finance; pricing of derivatives securities

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

60J25: Continuous-time Markov processes on general state spaces

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market, Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model, A local radial basis function method for pricing options under the regime switching model, On Poisson mixture of lognormal distributions, Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?

Cites Work

• Modelling spikes and pricing swing options in electricity markets
• A multi-factor jump-diffusion model for commodities†
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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• Robust numerical methods for contingent claims under jump diffusion processes
• The Term Structure of Simple Forward Rates with Jump Risk
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES