A hybrid commodity and interest rate market model

DOI10.1080/14697688.2011.627879zbMath1281.91080OpenAlexW2161066000MaRDI QIDQ5397405

Erik Schlögl, Kay F. Pilz

Publication date: 20 February 2014

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

Full work available at URL: http://hdl.handle.net/10453/21999

zbMATH Keywords

arbitrage pricingcomputational financecommodity marketsinterest rate derivativesinterest rate modellingderivative pricing modelscalibration of deterministic volatility

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Calibrating a market model with stochastic volatility to commodity and interest rate risk ⋮ Pricing commodity index options ⋮ SMILE MODELING IN COMMODITY MARKETS

Cites Work

• Continuous-time term structure models: Forward measure approach
• LIBOR and swap market models and measures
• A multicurrency extension of the lognormal interest rate market models
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• The Market Model of Interest Rate Dynamics
• Unnamed Item

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