Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

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We construct a general multi-factor model for estimation and calibration of commodity spot prices and futures valuation. This extends the multi-factor long-short model in Schwartz and Smith (Manag Sci 893-911, 2000) and Yan (Review of Derivatives Research 5(3):251-271, 2002) in two important aspects...

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Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Peters, G, Briers, M, Shevchenko, P, Doucet, A
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2013

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