Commodity is one of the most volatile markets and forecasting its volatility is an issue of paramount importance. We study the dynamics of the commodity markets volatility by employing fractional stochastic volatility and heterogeneous autoregressive (HAR) models. Based on a high-frequency...

The regime switching rough Heston model has two important features on different time scales. The regime switching is motivated by changes in the long term behaviour. The parameter of the model might change over time due to macro-economic reasons. Therefore we introduce a Markov chain to model...

We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the...

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a...