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

@article{Peters2011CalibrationAF,
  title={Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts},
  author={G. W. Peters and Mark Briers and Pavel V. Shevchenko and Arnaud Doucet},
  journal={Methodology and Computing in Applied Probability},
  year={2011},
  volume={15},
  pages={841-874}
}
  • G. W. Peters, Mark Briers, +1 author Arnaud Doucet
  • Published 2011
  • Economics, Mathematics
  • Methodology and Computing in Applied Probability
  • 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: firstly we allow for both the long and short term dynamic factors to be mean reverting incorporating stochastic volatility factors and secondly we develop an additive structural seasonality model… CONTINUE READING

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