A hybrid commodity and interest rate market model

DOI10.1080/14697688.2011.627879MaRDI QIDQ5397405zbMATH OpenOpenAlexFDO

Authors Erik Schlögl, Kay F. Pilz

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/21999

zbMATH Keywords

arbitrage pricingcomputational financecommodity marketsinterest rate derivativesinterest rate modellingderivative pricing modelscalibration of deterministic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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• A multi-factor jump-diffusion model for commodities†
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Cites work

• scientific article; zbMATH DE number 1505639 (Why is no real title available?)
• A multicurrency extension of the lognormal interest rate market models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics

Cited in

(14)

• Hybrid Lévy models: design and computational aspects
• Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
• Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• Calibrating a market model with stochastic volatility to commodity and interest rate risk
• Pricing commodity index options
• Calibration of a multifactor model for the forward markets of several commodities
• A drift-free simulation method for pricing commodity derivatives
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• Smile modeling in commodity markets
• Pricing commodity spread options with stochastic term structure of convenience yields and interest rates
• A vector autoregression framework for the modeling of commodity spreads
• A Simple Stochastic Rate Model for Rate Equity Hybrid Products
• A multi-factor jump-diffusion model for commodities†

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