Pages that link to "Item:Q3100748"
From MaRDI portal
The following pages link to THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748):
Displaying 30 items.
- Forward pricing in the shipping freight market (Q263051) (← links)
- Valuation of commodity derivatives with an unobservable convenience yield (Q342244) (← links)
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
- Representation of infinite-dimensional forward price models in commodity markets (Q403550) (← links)
- Weather derivatives and stochastic modelling of temperature (Q638030) (← links)
- Pricing and hedging Asian-style options on energy (Q889623) (← links)
- A four-factor stochastic volatility model of commodity prices (Q1621624) (← links)
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility (Q1688615) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models (Q2343101) (← links)
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option (Q2422168) (← links)
- On stochastic integration for volatility modulated Lévy-driven Volterra processes (Q2434503) (← links)
- Pricing and hedging of energy spread options and volatility modulated Volterra processes (Q2797872) (← links)
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing (Q2814674) (← links)
- Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets (Q2837759) (← links)
- Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets (Q2837760) (← links)
- Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling (Q2847836) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models (Q3019508) (← links)
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918) (← links)
- Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market (Q6089610) (← links)
- Simulation methods and error analysis for trawl processes and ambit fields (Q6089636) (← links)
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets (Q6619588) (← links)
- From calendar time to business time: the case of commodity markets (Q6649932) (← links)
- Risk Valuation of Quanto Derivatives on Temperature and Electricity (Q6671992) (← links)
