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The Stochastic Seasonal Behaviour of Natural Gas Prices
14 references·1 citing·38 second hop
The Stochastic Seasonal Behaviour of Natural Gas Prices (2010)The Stochastic Seasonal Behaviour of Natu…Capacity Constraints and Hedge Fund Strategy Returns (2007)Capacity Constraints and Hedg…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Seasonal and stochastic effects in commodity forward curves (2006)Seasonal and stochastic effec…AnN‐factor Gaussian model of oil futures prices (2006)AnN‐factor Gaussian model of …Implementing a stochastic model for oil futures prices (2003)Implementing a stochastic mod…Modeling seasonality in agricultural commodity futures (2002)Modeling seasonality in agric…Energy futures prices: term structure models with Kalman filter estimation (2002)Energy futures prices: term s…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…The pricing of commodity contracts (1976)The pricing of commodity cont…Filtering and forecasting commodity futures prices under an HMM framework (2013)Filtering and forecasting com…The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)The United States Department of Agriculture (1912)A Theory of the Term Structure of Interest Rates (1985)Investment under Uncertainty (1994)A selected review of agricultural commodity futures and options markets (2004)The valuation of multidimensional American real options using the LSM simulation method (2006)An equilibrium characterization of the term structure (1977)Investment Under Uncertainty. (1994)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Equilibrium Forward Curves for Commodities (2000)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Evaluating Natural Resource Investments (1985)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Forecasting oil price movements: Exploiting the information in the futures market (2007)Jump dynamics with structural breaks for crude oil prices (2009)Can investor attention predict oil prices? (2017)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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  • 2006AnN‐factor Gaussian model of oil futures prices124 cited
  • 2006Seasonal and stochastic effects in commodity forward curves85 cited

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  • 2013Filtering and forecasting commodity futures prices under an HMM framework

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42 cited