Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts

DOI10.1007/s11009-012-9286-7zbMath1307.91179arXiv1105.5850OpenAlexW2162181429MaRDI QIDQ2513643

Mark Briers, Pavel V. Shevchenko, Gareth W. Peters, Arnaud Doucet

Publication date: 28 January 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.5850

zbMATH Keywords

stochastic volatilityparticle filteradaptive Markov chain Monte CarloRao-Blackwellizationspot pricecommoditymilstein

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

On correlated measurement errors in the Schwartz-Smith two-factor model, On the Parameter Estimation in the Schwartz-Smith’s Two-Factor Model

Cites Work

• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Wishart processes
• Numerical solution of SDE through computer experiments. Including floppy disk
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Valuation of commodity derivatives in a new multi-factor model
• Affine processes and applications in finance
• Optimal scaling for various Metropolis-Hastings algorithms.
• Density approximations for multivariate affine jump-diffusion processes
• On the efficiency of adaptive MCMC algorithms
• Componentwise adaptation for high dimensional MCMC
• Exact simulation of Bessel diffusions
• Probabilistic Properties of Stochastic Volatility Models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Particle Markov Chain Monte Carlo Methods
• Factor Multivariate Stochastic Volatility via Wishart Processes
• An adaptive Metropolis algorithm