Commodity storage with durable shocks: a simple Markovian model

DOI10.1007/S11579-013-0108-7MaRDI QIDQ2452155zbMATH OpenOpenAlexFDO

Authors Anna Cretì, Bertrand Villeneuve

Publication date 30 May 2014

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://basepub.dauphine.fr/handle/123456789/5384

zbMATH Keywords

commoditiespiecewise deterministic Markov modelprice stabilizationstrategic stockssupply risk

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• Characterization of the marginal distributions of Markov processes used in dynamic reliability
• Economics of Depletable Resources: Market Forces and Intertemporal Bias
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• On the Behaviour of Commodity Prices
• The Distribution of Welfare Gains from Price Stabilization: The Case of Multiplicative Disturbances
• The economics of pollution permit banking in the context of Title IV of the 1990 Clean Air Act Amendments

Cited in

(10)

• Price relations on futures markets for storable commodities
• Temporary equilibrium with storable commodities
• scientific article; zbMATH DE number 5824061 (Why is no real title available?)
• Commodity Price Stabilization in Imperfect or Cartelized Markets
• Market News in Commodity Price Theory: Application to the Ethiopian Grain Market
• Modeling and estimating commodity prices: copper prices
• On the Pricing of Storable Commodities
• A stochastic optimal stopping model for storable commodity prices
• The empirical relevance of the competitive storage model
• Equilibrium storage with multiple commodities

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