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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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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
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Integrating Real Options Analysis with long-term electricity market models
Rios, Daniel; Blanco, Gerardo; Olsina, Fernando - In: Energy economics 80 (2019), pp. 188-205
Persistent link: https://www.econbiz.de/10012172352
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The stochastic volatility model of Barndorff-Nielsen and Shephard in commodity markets
Benth, Fred Espen - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 595-625
Persistent link: https://www.econbiz.de/10009311688
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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Portfolio speculation and commodity price volatility in a stochastic storage model
Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532
Persistent link: https://www.econbiz.de/10010411908
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Stochastic seasonality in commodity prices : the case of US natural gas
Chen, Sheng-Hung; Song Zan Chiou Wei; Zhu, Zhen - In: Empirical economics : a quarterly journal of the … 62 (2022) 5, pp. 2263-2284
Persistent link: https://www.econbiz.de/10013197300
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The prices of renewable commodities : a robust stationarity analysis
Landajo, Manuel; Presno, María José - In: The Australian journal of agricultural and resource … 66 (2022) 2, pp. 447-470
Persistent link: https://www.econbiz.de/10013184193
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Financial mathematics, volatility and covariance modelling
Chevallier, Julien (ed.); Goutte, Stéphane (ed.);  … - 2019
Persistent link: https://www.econbiz.de/10012002815
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Can Gaussian factor models of commodity prices capture the financialization phenomenon?
Aiube, Fernando Antônio Lucena; Faquieri, Winicius Botelho - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-10
Persistent link: https://www.econbiz.de/10012203674