Commodity price modelling that matches current observables: a new approach
From MaRDI portal
(Redirected from Publication:4647240)
Recommendations
- Commodity futures term structure model
- Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
- Time-varying long-run mean of commodity prices and the modeling of futures term structures
- A multi-factor jump-diffusion model for commodities†
- Seasonal and stochastic effects in commodity forward curves
Cited in
(27)- Model uncertainty on commodity portfolios, the role of convenience yield
- The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
- Statistical field theory of futures commodity prices
- Commodity spot and futures prices under supply, demand, and financial trading: single input-output model
- Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
- Pricing mining concessions based on combined multinomial pricing model
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- Seasonal and stochastic effects in commodity forward curves
- Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
- Time-varying long-run mean of commodity prices and the modeling of futures term structures
- Commodity futures term structure model
- The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
- scientific article; zbMATH DE number 2133106 (Why is no real title available?)
- Commodity derivatives pricing with cointegration and stochastic covariances
- Smile modeling in commodity markets
- Valuation of commodity derivatives with an unobservable convenience yield
- A multi-factor jump-diffusion model for commodities†
- scientific article; zbMATH DE number 125842 (Why is no real title available?)
- Calibrating a market model with stochastic volatility to commodity and interest rate risk
- Stochastic model for gold prices and its application for no-arbitrage pricing
- Medium-term planning for thermal electricity production
- Modeling and estimating commodity prices: copper prices
- An alternative method to estimate parameters in modelling the behaviour of commodity prices
- A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model
- Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
- From calendar time to business time: the case of commodity markets
- Modelling and measuring price discovery in commodity markets
This page was built for publication: Commodity price modelling that matches current observables: a new approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647240)
