A drift-free simulation method for pricing commodity derivatives

DOI10.1002/ASMB.2056MaRDI QIDQ6574654zbMATH OpenFDO

Authors J. L. Fernández, M. Pou, Carlos Vázquez

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2056

zbMATH Keywords

Libor market modelconvenience yieldcommodity derivativesdrift-free simulationcross-markets

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 1028241 (Why is no real title available?)
• A hybrid commodity and interest rate market model
• A multicurrency extension of the lognormal interest rate market models
• A new parameterization for the drift-free simulation in the Libor market model
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• LIBOR and swap market models and measures
• Parameterizing correlations: a geometric interpretation
• Pricing inflation-indexed derivatives
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• The Market Model of Interest Rate Dynamics

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