A hybrid commodity and interest rate market model
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Publication:5397405
DOI10.1080/14697688.2011.627879zbMath1281.91080MaRDI QIDQ5397405
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/21999
arbitrage pricing; computational finance; commodity markets; interest rate derivatives; interest rate modelling; derivative pricing models; calibration of deterministic volatility
91B24: Microeconomic theory (price theory and economic markets)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Calibrating a market model with stochastic volatility to commodity and interest rate risk, Pricing commodity index options, SMILE MODELING IN COMMODITY MARKETS
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