A hybrid commodity and interest rate market model

DOI10.1080/14697688.2011.627879zbMATH Open1281.91080OpenAlexW2161066000MaRDI QIDQ5397405FDOQ5397405

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

Recommendations

• Calibrating a market model with stochastic volatility to commodity and interest rate risk
• A multi-factor jump-diffusion model for commodities†
• Smile modeling in commodity markets
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• The Market Model of Interest Rate Dynamics

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)

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• LIBOR and swap market models and measures
• The Market Model of Interest Rate Dynamics
• Title not available (Why is that?)
• Continuous-time term structure models: Forward measure approach
• A multicurrency extension of the lognormal interest rate market models

Cited In (11)

• SMILE MODELING IN COMMODITY MARKETS
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model
• A multi-factor jump-diffusion model for commodities†
• Pricing commodity index options
• A drift-free simulation method for pricing commodity derivatives
• A Simple Stochastic Rate Model for Rate Equity Hybrid Products
• ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING
• Pricing commodity spread options with stochastic term structure of convenience yields and interest rates
• Calibrating a market model with stochastic volatility to commodity and interest rate risk
• Calibration of a multifactor model for the forward markets of several commodities
• A vector autoregression framework for the modeling of commodity spreads

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