A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model

DOI10.1080/14697688.2013.774460zbMath1281.91172OpenAlexW2069568460MaRDI QIDQ5397403

Hiroaki Suenaga

Publication date: 20 February 2014

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

Full work available at URL: http://hdl.handle.net/20.500.11937/12889

zbMATH Keywords

commodity pricesterm structurevolatility modellinghedging techniques

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Theory of storage and the pricing of commodity claims
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Energy futures prices: term structure models with Kalman filter estimation

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