Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
DOI10.1007/s11009-012-9286-7zbMath1307.91179arXiv1105.5850OpenAlexW2162181429MaRDI QIDQ2513643
Mark Briers, Pavel V. Shevchenko, Gareth W. Peters, Arnaud Doucet
Publication date: 28 January 2015
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.5850
stochastic volatilityparticle filteradaptive Markov chain Monte CarloRao-Blackwellizationspot pricecommoditymilstein
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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