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  • Search: subject:"affine diffusions"
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Year of publication
Subject
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(neural) measure-valued processes 1 Dawson-Watanabe type superprocesses 1 Energiemarkt 1 Energy market 1 HJM term structure modeling 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Yield curve 1 Zinsstruktur 1 affine diffusions 1 commodity markets 1 energy markets 1 polynomial and affine diffusions 1 stochastic processes 1 term structure modeling 1
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Online availability
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Free 2
Type of publication
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Article 1 Other 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Cuchiero, Christa 1 Di Persio, Luca 1 Guida, Francesco 1 John Seater 1 Nick Piggott 1 Paul Fackler 1 Peter Bloomfield 1 Svaluto-Ferro, Sara 1 Tian, Yanjun 1
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Source
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BASE 1 ECONIS (ZBW) 1
Showing 1 - 2 of 2
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Measure-valued processes for energy markets
Cuchiero, Christa; Di Persio, Luca; Guida, Francesco; … - 2025
Persistent link: https://www.econbiz.de/10015359128
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Affine Diffusion Modeling of Commodity Futures Price Term Structure
Tian, Yanjun - 2003
Diffusion modeling of commodity price behavior is important for commodity risk management. This research seeks to improve upon the existing commodity diffusion models by incorporating stochastic volatility and seasonality through the affine diffusion framework. In particular, it evaluates affine...
Persistent link: https://www.econbiz.de/10009431219
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