Calibrating a market model with stochastic volatility to commodity and interest rate risk

DOI10.1080/14697688.2016.1254814zbMath1402.91831OpenAlexW2564620791MaRDI QIDQ4555116

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Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/115327

zbMATH Keywords

calibrationenergy derivativesderivative pricingcommodity marketsinterest rate derivativesinterest rate modellingoil futures

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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