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Seasonal Stochastic Volatility : implications for the pricing of commodity options

Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65

Persistent link: https://www.econbiz.de/10011634553

Variance risk in commodity markets

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149

Persistent link: https://www.econbiz.de/10011816431

Commodity derivatives valuation with autoregressive and moving average components in the price dynamics

Paschke, Raphael; Prokopczuk, Marcel - In: Journal of banking & finance 34 (2010) 11, pp. 2742-2752

Persistent link: https://www.econbiz.de/10008858840

Seasonality and the valuation of commodity options

Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290

Persistent link: https://www.econbiz.de/10009705701

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133

Introduction: special issue on commodity and energy markets in the Journal of Banking and Finance

Roncoroni, Andrea; Prokopczuk, Marcel; Ronn, Ehud I. - In: Journal of banking & finance 95 (2018), pp. 1-4

Persistent link: https://www.econbiz.de/10011966673

Measuring commodity market quality

Lauter, Tobias; Prokopczuk, Marcel - In: Journal of banking & finance 145 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013538965

A family of humped volatility structures

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

that humped volatility structures are possible and yet analytical formulas for Euro- pean options on discount bonds are … interest rate models where (i) humped volatility structures are possible; (ii) the interest rate volatility may depend on the …

Persistent link: https://www.econbiz.de/10010232146

The importance of the volatility risk premium for volatility forecasting

Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320

Persistent link: https://www.econbiz.de/10010402181

An analytically tractable interest rate model with humped volatility

Mercurio, Fabio; Moraleda Novo, Juan Manuel - 1996

Persistent link: https://www.econbiz.de/10000939515