The dynamics of commodity prices

DOI10.1080/14697688.2013.769689MaRDI QIDQ5397404zbMATH OpenOpenAlexWikidataFDO

Authors Chris Brooks, Marcel Prokopczuk

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.769689

zbMATH Keywords

commodity pricesjumpsMarkov chain Monte Carlostochastic volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Alternative models for stock price dynamics.
• Bayesian Measures of Model Complexity and Fit
• Energy futures prices: term structure models with Kalman filter estimation
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Seasonal and stochastic effects in commodity forward curves
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(19)

• Fractional dynamic behavior in ethanol prices series
• The declining price anomaly
• On agricultural commodities' extreme price risk
• Can commodities dominate stock and bond portfolios?
• Related commodity markets and conditional correlations
• Global vs sectoral factors and the impact of the financialization in commodity price changes
• On the estimation of regime-switching Lévy models
• Commodity price dynamics and derivative valuation: a review
• Commodities
• Statistical microeconomics and commodity prices: theory and empirical results
• Should commodity investors follow commodities' prices?
• Commodity markets through the business cycle
• Specification tests for time-varying parameter models with stochastic volatility
• Explaining the persistence of commodity prices
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
• Regret-aversion over different maturities: application to energy futures markets
• Option prices in the equity, index and commodity markets: the ``message from markets
• Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
• Estimating and pricing commodity futures with time-delay stochastic processes

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