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Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?
Journal of Futures Markets
◽
10.1002/fut.22006
◽
2019
◽
Vol 39
(7)
◽
pp. 865-889
Author(s):
Tore S. Kleppe
◽
Atle Oglend
Keyword(s):
Term Structure
◽
Structure Modeling
◽
Limits To Arbitrage
◽
Term Structure Modeling
Download Full-text
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References
Introduction to Term Structure Modeling
Financial Engineering and Computation
◽
10.1017/cbo9780511546839.024
◽
2001
◽
pp. 328-344
Keyword(s):
Term Structure
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Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling
Informatics in Control, Automation and Robotics - Lecture Notes in Electrical Engineering
◽
10.1007/978-3-319-10891-9_19
◽
2014
◽
pp. 329-348
Author(s):
ShinIchi Aihara
◽
Arunabha Bagchi
◽
Saikat Saha
Keyword(s):
Stochastic Volatility
◽
Term Structure
◽
Structure Modeling
◽
Exact Sampling
◽
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Krippner Framework for ZLB Term Structure Modeling
Zero Lower Bound Term Structure Modeling
◽
10.1057/9781137401823.0011
◽
2015
◽
Keyword(s):
Term Structure
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Zero Lower Bound Term Structure Modeling
10.1057/9781137401823
◽
2015
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Keyword(s):
Lower Bound
◽
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◽
Structure Modeling
◽
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◽
Term Structure Modeling
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Term Structure Modeling for Pension Liability Discounting
Financial Analysts Journal
◽
10.2469/faj.v44.n6.63
◽
1988
◽
Vol 44
(6)
◽
pp. 63-67
Author(s):
W. Brian Barrett
Keyword(s):
Term Structure
◽
Structure Modeling
◽
Term Structure Modeling
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Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Programs
Finance and Economics Discussion Series
◽
10.17016/feds.2014.007
◽
2014
◽
Vol 2014
(007)
◽
pp. 1-33
◽
Cited By ~ 4
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Canlin Li
◽
◽
Min Wei
Keyword(s):
Term Structure
◽
Large Scale
◽
Structure Modeling
◽
Term Structure Modeling
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Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound
SSRN Electronic Journal
◽
10.2139/ssrn.2698961
◽
2016
◽
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Guillaume Roussellet
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Lower Bound
◽
Term Structure
◽
Structure Modeling
◽
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◽
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◽
Term Structure Modeling
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Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling
SSRN Electronic Journal
◽
10.2139/ssrn.2884699
◽
2016
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Cited By ~ 1
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Christian P. Fries
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Term Structure
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Structure Modeling
◽
Term Structure Modeling
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Term Structure Modeling in Continuous Time
Lecture Notes in Economics and Mathematical Systems - Bond Portfolio Optimization
◽
10.1007/978-3-540-76593-6_3
◽
2008
◽
pp. 13-40
Keyword(s):
Term Structure
◽
Continuous Time
◽
Structure Modeling
◽
Term Structure Modeling
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Black Framework for ZLB Term Structure Modeling
Zero Lower Bound Term Structure Modeling
◽
10.1057/9781137401823.0012
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Term Structure
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Term Structure Modeling
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