A multiplicative seasonal component in commodity derivative pricing

DOI10.1016/J.CAM.2017.05.014zbMATH Open1415.91283OpenAlexW2619002677MaRDI QIDQ1676014FDOQ1676014

L. Gómez-Valle, Z. Habibilashkary, J. Martínez-Rodríguez

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.05.014

Recommendations

• A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
• Long-term swings and seasonality in energy markets
• Seasonal and stochastic effects in commodity forward curves
• Commodity price dynamics and derivative valuation: a review
• Markov models for commodity futures: theory and practice

zbMATH Keywords

nonparametric estimationseasonalitynumerical differentiationrisk premiumjump-diffusion stochastic processesrisk-neutral measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Financial Modelling with Jump Processes
• Nonparametric and semiparametric models.
• Stochastic calculus for finance. II: Continuous-time models.
• Lévy Processes and Stochastic Calculus
• Applied stochastic control of jump diffusions
• Title not available (Why is that?)
• Point processes and queues. Martingale dynamics
• On the functional estimation of jump-diffusion models.
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Modelling electricity prices: a time change approach
• Valuation of commodity derivatives in a new multi-factor model
• Advances in pricing commodity futures: multifactor models
• Title not available (Why is that?)
• A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Cited In (4)

• Long-term swings and seasonality in energy markets
• Seasonal and stochastic effects in commodity forward curves
• Mathematical modeling and computational methods
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes

This page was built for publication: A multiplicative seasonal component in commodity derivative pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1676014)