Multi-factor polynomial diffusion models and inter-temporal futures dynamics

DOI10.1007/978-3-031-47417-0_18MaRDI QIDQ6630458zbMATH OpenFDO

Authors Peilun He, Nino E. Kordzakhia, Gareth W. Peters, Pavel V. Shevchenko

Publication date 31 October 2024

Full work available at URL https://doi.org/10.1007/978-3-031-47417-0_18

zbMATH Keywords

filtering methodspolynomial diffusionstochastic multi-factor commodity models

Mathematics Subject Classification ID

Generation, random and stochastic difference and differential equations (37H10) Diffusion processes (60J60) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Recommendations

• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• Advances in pricing commodity futures: multifactor models
• Energy futures prices: term structure models with Kalman filter estimation
• A multi-factor jump-diffusion model for commodities†
• On the parameter estimation in the Schwartz-Smith's two-factor model

Cites work

• A two-factor model for the electricity forward market
• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Parameter estimation for a bidimensional partially observed Ornstein-Uhlenbeck process with biological application
• Polynomial diffusions and applications in finance

This page was built for publication: Multi-factor polynomial diffusion models and inter-temporal futures dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6630458)