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Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models

Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330

Persistent link: https://www.econbiz.de/10010357373

Benefits of preconditioning cattle under stochastic feedlot performance

Verteramo Chiu, Leslie J.; Tauer, Loren W.; … - In: Journal of agricultural and applied economics : JAEE 54 (2022) 4, pp. 656-673

Preconditioning cattle, a management practice of preparing cattle for feedlots as well as following a vaccination … protocol for common diseases, has been shown to add value to cattle by reducing disease incidence and severity, yet it is not … universally adopted. We estimated the benefits to a beef system of preconditioning weaned calves versus not preconditioning under …

Persistent link: https://www.econbiz.de/10013503604

Essays in mathematical finance : modeling the futures price

Blix, Magnus - 2004

Persistent link: https://www.econbiz.de/10002831728

Multiscale stochastic volatility model for derivatives on futures

Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31

Persistent link: https://www.econbiz.de/10010498865

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

Pricing option on commodity futures under string shock

Bisht, Deepak; Laha, Arnab Kumar - 2017

Persistent link: https://www.econbiz.de/10011691532

Seasonal Stochastic Volatility : implications for the pricing of commodity options

Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65

Persistent link: https://www.econbiz.de/10011634553

Jumps and volatility dynamics in agricultural commodity spot prices

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied economics 49 (2017) 40, pp. 4035-4054

Persistent link: https://www.econbiz.de/10011820009

Heavy metals : might as well jump

Wilmot, Neil A. - In: International Journal of Financial Studies : open … 7 (2019) 2/33, pp. 1-14

Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...

Persistent link: https://www.econbiz.de/10012038566

Pricing commodity index options

Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308

Persistent link: https://www.econbiz.de/10014232638