Time-varying long-run mean of commodity prices and the modeling of futures term structures

DOI10.1080/14697688.2010.488654zbMATH Open1278.91067OpenAlexW2140918863MaRDI QIDQ2869967FDOQ2869967

Authors Ke Tang

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.488654

zbMATH Keywords

asset pricingderivatives pricingcommodity pricescommodity marketscontinuous-time finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Testing for unit roots in autoregressive-moving average models of unknown order
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(17)

• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• Modeling and estimating commodity prices: copper prices
• Commodity price modelling that matches current observables: a new approach
• Commodity price dynamics and derivative valuation: a review
• Long-term swings and seasonality in energy markets
• Commodity derivative valuation under a factor model with time-varying market prices of risk
• A four-factor stochastic volatility model of commodity prices
• A discrete time approach for modeling two-factor mean-reverting stochastic processes
• A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model
• Strategic commodity allocation
• A new definition for time-dependent price mean reversion in commodity markets
• Pricing and hedging of long-term futures and forward contracts by a three-factor model
• The synchronized and long-lasting structural change on commodity markets: Evidence from high frequency data
• Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
• Commodity Markets, Long-Run Predictability, and Intertemporal Pricing
• Forecasting commodity futures returns with stepwise regressions: do commodity-specific factors help?
• scientific article; zbMATH DE number 1724292 (Why is no real title available?)

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