36 records found
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Implied volatility in oil markets
Commodity volatility modelling and option pricing with a potential function approach
Consistency and asymptotic normality of least squares estimators in generalized STAR models
Trading commodities: derivatives and risks
A GLN Approach to Valuation and Hedging of Asian Basket Options
A Closed Form Approach to the Valuation and Hedging of Basket and Spread Options
Asian basket options and implied correlations in oil markets
Analysis and Modelling of Electricity Futures Prices
Empirical analysis of analytic approximation approaches for pricing and hedging spread options
Dectecting market transitions and energy futures risk management using principal components
Seasonal and stochastic effects in commodity forward curves
Modelling electricity prices by the potential jump-diffusion
Implied Volatility in Oil Markets
Detecting market transitions and energy futures risk management using principal components
Average price options in energy markets
Forecasting market transitions from the forward curve dynamics
A potential-field approach to financial time series modelling
The forward curve dynamic and market transition forecasts
