Markov models for commodity futures: theory and practice

DOI10.1080/14697680903493599MaRDI QIDQ3063849zbMATH OpenOpenAlexFDO

Authors L. 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

pricing modelspricing of derivatives securitiesprobability theoryquantitative finance

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Recommendations

• A multi-factor jump-diffusion model for commodities†
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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multi-factor jump-diffusion model for commodities†
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Modelling spikes and pricing swing options in electricity markets
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• Robust numerical methods for contingent claims under jump diffusion processes
• The Term Structure of Simple Forward Rates with Jump Risk
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(16)

• The jump size distribution of the commodity spot price and its effect on futures and option prices
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• A multiplicative seasonal component in commodity derivative pricing
• 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?
• Long-term swings and seasonality in energy markets
• A vector autoregression framework for the modeling of commodity spreads
• Dynamic model of futures pricing under jump behavior of natural gas price and its empirical research
• scientific article; zbMATH DE number 7255568 (Why is no real title available?)
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• Seasonality in commodity prices: new approaches for pricing plain vanilla options
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• From calendar time to business time: the case of commodity markets
• Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
• Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration

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