A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model

DOI10.1080/14697688.2013.774460MaRDI QIDQ5397403zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

term structurecommodity pricesvolatility modellinghedging techniques

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• 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
• The pricing of options and corporate liabilities
• 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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