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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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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
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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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Bond flotation with exotic commodity collateral
Dempster, Michael A. H. - In: Quantitative finance 20 (2020) 12, pp. 1903-1925
Persistent link: https://www.econbiz.de/10012313526
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The effectiveness of incorporating higher moments in portfolio strategies : evidence from the Chinese commodity futures markets
Liu, Qingfu; Jiang, Pan; An, Yunbi; Cheung, Keith C. K. - In: Quantitative finance 20 (2020) 4, pp. 653-668
Persistent link: https://www.econbiz.de/10012194912
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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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Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
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The volatility risk premium in the oil market
Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929
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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923