Modeling and estimating commodity prices: copper prices

DOI10.1007/S11579-014-0140-2zbMATH Open1321.91114OpenAlexW2033605532MaRDI QIDQ496575FDOQ496575

Authors I. Rios, Roger J.-B. Wets 

Publication date 22 September 2015

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

Full work available at URL https://doi.org/10.1007/s11579-014-0140-2

zbMATH Keywords

scenario treeepi-splinescommodity pricesbest fitshort and long term

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Can exchange rates forecast commodity prices?
• Commodity storage with durable shocks: a simple Markovian model
• Theory of storage and the pricing of commodity claims

Cited in

(6)

• Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process
• Optimizing a mineral value chain with market uncertainty using Benders decomposition
• The numerical model of forecasting aluminium prices by using two initial values
• Modeling uncertainty of expert elicitation for use in risk-based optimization
• On univariate function identification problems
• Fusion of hard and soft information in nonparametric density estimation

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