Calibration of a multifactor model for the forward markets of several commodities (Q5746731)
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scientific article; zbMATH DE number 6256423
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English | Calibration of a multifactor model for the forward markets of several commodities |
scientific article; zbMATH DE number 6256423 |
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Calibration of a multifactor model for the forward markets of several commodities (English)
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7 February 2014
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two-factor model for commodity forward prices
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historical calibration
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quadratic variation/covariation
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rolling time series
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non-convex optimization
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semidefinite programming
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