際際滷shows by User: CarloMontanari / http://www.slideshare.net/images/logo.gif 際際滷shows by User: CarloMontanari / Fri, 18 Apr 2014 03:12:11 GMT 際際滷Share feed for 際際滷shows by User: CarloMontanari Calibration of Stochastic Models for Energy Futures /slideshow/tl-mp-versione-integrale/33675981 tlmp-versioneintegrale-140418031211-phpapp01
Calibration of four multi-factor and multi-commodity stochastic models for energy futures. We consider BGM models and assume that futures prices are geometric Brownian motion with stochastic drift, time dependent volatility and correlated risk factors. We perform calibration for different choices of drift and volatility coherent with Samuelson effect, price seasonality and cointegration of market.]]>
Calibration of four multi-factor and multi-commodity stochastic models for energy futures. We consider BGM models and assume that futures prices are geometric Brownian motion with stochastic drift, time dependent volatility and correlated risk factors. We perform calibration for different choices of drift and volatility coherent with Samuelson effect, price seasonality and cointegration of market.]]> Fri, 18 Apr 2014 03:12:11 GMT /slideshow/tl-mp-versione-integrale/33675981 CarloMontanari@slideshare.net(CarloMontanari) Calibration of Stochastic Models for Energy Futures CarloMontanari Calibration of four multi-factor and multi-commodity stochastic models for energy futures. We consider BGM models and assume that futures prices are geometric Brownian motion with stochastic drift, time dependent volatility and correlated risk factors. We perform calibration for different choices of drift and volatility coherent with Samuelson effect, price seasonality and cointegration of market. <img style="border:1px solid #C3E6D8;float:right;" alt="" src="https://cdn.slidesharecdn.com/ss_thumbnails/tlmp-versioneintegrale-140418031211-phpapp01-thumbnail.jpg?width=120&amp;height=120&amp;fit=bounds" /><br> Calibration of four multi-factor and multi-commodity stochastic models for energy futures. We consider BGM models and assume that futures prices are geometric Brownian motion with stochastic drift, time dependent volatility and correlated risk factors. We perform calibration for different choices of drift and volatility coherent with Samuelson effect, price seasonality and cointegration of market.
Calibration of Stochastic Models for Energy Futures from Carlo Montanari
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