Calibration of a multifactor model for the forward markets of several commodities (Q5746731)
From MaRDI portal
scientific article; zbMATH DE number 6256423
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of a multifactor model for the forward markets of several commodities |
scientific article; zbMATH DE number 6256423 |
Statements
Calibration of a multifactor model for the forward markets of several commodities (English)
0 references
7 February 2014
0 references
two-factor model for commodity forward prices
0 references
historical calibration
0 references
quadratic variation/covariation
0 references
rolling time series
0 references
non-convex optimization
0 references
semidefinite programming
0 references
