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Jumps and oil futures volatility forecasting : a new insight
Ma, Feng; Liang, Chao; Zeng, Qing; Li, Haibo - In: Quantitative finance 21 (2021) 5, pp. 853-863
Persistent link: https://www.econbiz.de/10012500197
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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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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