Alexander Eydeland

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Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a(More)
The <italic>Constrained Matrix</italic> problem is a core problem in numerous applications in the social and economic sciences, including: the estimation of input-output tables, trade tables, and social/national accounts, the projection of migration flows over space and time, the treatment of census data, the analysis of political voting patterns, and the(More)
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