Gaussian factor models futures and forward prices

DOI10.1093/IMAMAN/DPM019MaRDI QIDQ5432707zbMATH OpenOpenAlexFDO

Authors Cody Blaine Hyndman

Publication date 18 December 2007

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/71fcb4e26a421b3a37c01af665a233d910d29353

zbMATH Keywords

factor modelsforward pricefutures priceGaussian state variablesstochastic flows

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(5)

• A forward-backward SDE approach to affine models
• Futures options with futures-style margining in the Gaussian models setting
• Pricing stock and bond derivatives with a multi-factor Gaussian model
• Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
• Pricing and hedging of long-term futures and forward contracts by a three-factor model

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