Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Year of publication: |
2021
|
---|---|
Authors: | Gonzato, Luca ; Sgarra, Carlo |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 99.2021, p. 1-13
|
Subject: | Hawkes processes | Jumps clustering | Oil price dynamics | Optimal hedging | Particle filtering | Sequential Monte Carlo | Hedging | Ölpreis | Oil price | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Ölmarkt | Oil market | Optionspreistheorie | Option pricing theory | Schätzung | Estimation | Stochastischer Prozess | Stochastic process |
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