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Affine‐Structure Models and the Pricing of Energy Commodity Derivatives
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Affine‐Structure Models and the Pricing of Energy Commodity Derivatives (2015)Affine‐Structure Models and the Pricing o…Model Specification and Risk Premia: Evidence from Futures Options (2007)Model Specification and Risk …Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates (2005)Stochastic Convenience Yield …A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Affine processes and applications in finance (2003)Affine processes and applicat…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Equilibrium Forward Curves for Commodities (2000)Equilibrium Forward Curves fo…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A pricing method for options based on average asset values (1990)A pricing method for options …The Pricing of Options and Corporate Liabilities (1973)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (2004)Hawkes Processes in Finance (2015)Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)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)Forecasting, Structural Time Series Models and the Kalman Filter (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Option pricing when underlying stock returns are discontinuous (1976)The Variance Gamma Process and Option Pricing (1998)The Impact of Jumps in Volatility and Returns (2003)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 2003Affine processes and applications in finance1,044 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 2007Model Specification and Risk Premia: Evidence from Futures Options630 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 2000Equilibrium Forward Curves for Commodities475 cited

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  • 2005Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates443 cited
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