Calibration of a multifactor model for the forward markets of several commodities

DOI10.1080/02331934.2013.854786zbMATH Open1287.91139OpenAlexW2102442070MaRDI QIDQ5746731

Davide Tasinato, Enrico Edoli, Tiziano Vargiolu

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.854786

zbMATH Keywords

semidefinite programmingnon-convex optimizationhistorical calibrationquadratic variation/covariationrolling time seriestwo-factor model for commodity forward prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A two-factor model for the electricity forward market
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

Related Items (2)

Optimization Methods in Mathematical Finance ⋮ Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets

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