A drift-free simulation method for pricing commodity derivatives

DOI10.1002/ASMB.2056MaRDI QIDQ6574654

Carlos Vázquez, J. L. Fernández, M. Pou

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Libor market modelconvenience yieldcommodity derivativesdrift-free simulationcross-markets

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• LIBOR and swap market models and measures
• A multicurrency extension of the lognormal interest rate market models
• Arbitrage-free discretization of lognormal forward Libor and swap rate models
• A new parameterization for the drift-free simulation in the Libor market model
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• THEORY AND CALIBRATION OF SWAP MARKET MODELS
• The Market Model of Interest Rate Dynamics
• A hybrid commodity and interest rate market model
• Parameterizing correlations: a geometric interpretation
• Pricing inflation-indexed derivatives

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