COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

DOI10.1142/S0219024913500325zbMath1279.91070OpenAlexW3124298488MaRDI QIDQ2862510

Marcel Prokopczuk, Janis Back

Publication date: 15 November 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024913500325

zbMATH Keywords

seasonalitycommodity pricesmean reversionconvenience yieldSamuelson effectreview articletheory of storagecommodity derivatives

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Cointegration in continuous time for factor models ⋮ The Impact of Cointegration on Commodity Spread Options ⋮ On the seasonality in the implied volatility of electricity options

Cites Work

• Unnamed Item
• Theory of storage and the pricing of commodity claims
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
• Modelling jumps in electricity prices: theory and empirical evidence
• Convenience yields
• Valuation of commodity derivatives in a new multi-factor model
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Seasonal and stochastic effects in commodity forward curves
• Time-varying long-run mean of commodity prices and the modeling of futures term structures
• Hedging Pressure and Futures Price Movements in a General Equilibrium Model
• On the Behaviour of Commodity Prices
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Modelling Electricity Prices with Forward Looking Capacity Constraints
• A multi-factor jump-diffusion model for commodities†
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
• Inventory and Price Behaviour
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Energy futures prices: term structure models with Kalman filter estimation
• A Simple Competitive Model with Production and Storage
• A note on arbitrage‐free pricing of forward contracts in energy markets
• Implications of a regime-switching model on natural gas storage valuation and optimal operation
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The dynamics of commodity prices

This page was built for publication: COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW