scientific article; zbMATH DE number 176006

MaRDI QIDQ4035100zbMATH OpenFDO

Authors M. J. Brennan

Publication date 18 May 1993

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Cited in

(11)

• Impact of divergent consumer confidence on option prices
• Adaptive signal processing of asset price dynamics with predictability analysis
• A four-factor stochastic volatility model of commodity prices
• Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
• The valuation and information content of options on crude-oil futures contracts
• Renewable energy investments under different support schemes: a real options approach
• Hedging long-term forwards with short-term futures: a two-regime approach
• Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Valuation of commodity derivatives with an unobservable convenience yield
• Real (investment) options with multiple sources of rare events

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