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Commodity price dynamics and derivative valuation : a review
Back, Janis; Prokopczuk, Marcel - In: International journal of theoretical and applied finance 16 (2013) 6, pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
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Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Nakajima, Katsushi - In: Annals of finance 18 (2022) 1, pp. 35-80
Persistent link: https://www.econbiz.de/10013194631
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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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Optimal trading of a basket of futures contracts
Angoshtari, Bahman; Leung, Tim - In: Annals of finance 16 (2020) 2, pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38
Persistent link: https://www.econbiz.de/10012271026
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On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G. - In: Annals of finance 14 (2018) 2, pp. 223-251
Persistent link: https://www.econbiz.de/10011945595