A stochastic oil price model for optimal hedging and risk management
type: Item
instance of: scholarly article
title: A STOCHASTIC OIL PRICE MODEL FOR OPTIMAL HEDGING AND RISK MANAGEMENT
zbMATH Open document ID: 1484.91498
DOI: 10.1142/S0219024922500091
author: Teemu Pennanen
author: Luciane Sbaraini Bonatto
published in: International Journal of Theoretical and Applied Finance
publication date: 2022-03-29T00:00:00Z
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7499772
zbMATH Keywords: oil prices
zbMATH Keywords: market risk
zbMATH Keywords: stochastic modeling
zbMATH Keywords: market incompleteness
zbMATH Keywords: optimal hedging
zbMATH Keywords: illiquid markets
zbMATH Keywords: risk management
describes a project that uses: Mosek
MaRDI profile type: MaRDI publication profile
cites work: Q3339960
cites work: Numerical methods of statistics.
cites work: Lectures on convex optimization
cites work: Q3281461
full work available at URL: s0219024922500091
OpenAlex ID: W4221028144
Recommended article: Stochastic models for oil prices and the pricing of futures on oil
Recommended article: Mean-variance hedging with oil futures
Recommended article: A modern two-stage stochastic programming portfolio model for an oil refinery with financial risk management
Recommended article: Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
Recommended article: Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
description: scientific article; zbMATH DE number 7499772