Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Energy futures prices: term structure models with Kalman filter estimation

8 references·16 citing·43 second hop

FromToDepth

this work references cited by second hop

References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
2003Stochastic Differential Equations2,978 cited
1993Dynamic Asset Pricing Theory.2,891 cited
2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
1997Martingale Methods in Financial Modelling1,085 cited
1995Stochastic Differential Equations384 cited
1998Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates247 cited
1994The Valuation of Commodity Contingent Claims192 cited

Cited by

2006AnN‐factor Gaussian model of oil futures prices124 cited
2013The dynamics of commodity prices96 cited
2009Implications of a regime-switching model on natural gas storage valuation and optimal operation79 cited
2012Seasonality and the valuation of commodity options79 cited
2011A hybrid commodity price‐forecasting model applied to the sugar–alcohol sector61 cited
2012Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy60 cited
2003Real options and a large producer: the case of electricity markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

54 cited

2011How much should we pay for interconnecting electricity markets? A real options approach50 cited

2016Seasonal Stochastic Volatility: Implications for the pricing of commodity options49 cited

2014Explicit Representation of Cost-Efficient Strategies47 cited

2004A Two-Factor Model for Commodity Prices and Futures Valuation46 cited

2010The Stochastic Seasonal Behaviour of Natural Gas Prices45 cited

2013Filtering and forecasting commodity futures prices under an HMM framework42 cited

2010Pricing and hedging in the freight futures market41 cited

2015Electricity futures price models: Calibration and forecasting40 cited

2010Linear and non-linear filtering in mathematical finance: a review38 cited