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Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These … complex processes contributed to the fatness of the tails in the distribution of heavy metal price returns. …

Persistent link: https://www.econbiz.de/10012038566

A four-factor stochastic volatility model of commodity prices

Schöne, Max F.; Spinler, Stefan - In: Review of derivatives research 20 (2017) 2, pp. 135-165

Persistent link: https://www.econbiz.de/10011935975

Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models

Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330

Persistent link: https://www.econbiz.de/10010357373

Calibrating a market model to commodity and interest rate risk

Karlsson, Patrik; Pilz, Kay Frederik; Schlögl, Erik - 2016

Persistent link: https://www.econbiz.de/10011778017

The impact of global energy price volatility on oil derivative and local price in Jordan : using DCC-GARCH model

Adailah, Radi Mohammad; Al-Damour, Saba Bassam; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 336-348

Persistent link: https://www.econbiz.de/10014486378

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

Commodity spread option with cointegration

Nakajima, Katsushi; Ōhashi, Kazuhiko - In: Asia-Pacific financial markets 23 (2016) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011619864

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

Mellios, Constantin; Six, Pierre; Anh Ngoc Lai - In: European journal of operational research : EJOR 250 (2016) 2, pp. 493-504

Persistent link: https://www.econbiz.de/10011441684

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