A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model
DOI10.1080/14697688.2013.774460zbMATH Open1281.91172OpenAlexW2069568460MaRDI QIDQ5397403FDOQ5397403
Authors: Hiroaki Suenaga 
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/20.500.11937/12889
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Cites Work
- The pricing of options and corporate liabilities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Energy futures prices: term structure models with Kalman filter estimation
- Theory of storage and the pricing of commodity claims
Cited In (10)
- A discrete time approach for modeling two-factor mean-reverting stochastic processes
- A four-factor stochastic volatility model of commodity prices
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- A flexible model for tree-structured multi-commodity markets
- Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices
- An alternative method to estimate parameters in modelling the behaviour of commodity prices
- Time-varying long-run mean of commodity prices and the modeling of futures term structures
- Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
- Calibration of a multifactor model for the forward markets of several commodities
- On correlated measurement errors in the Schwartz-Smith two-factor model
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