Latent Jump Diffusion Factor Estimation for Commodity Futures

2015 ◽  
Author(s):  
M. A. H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Jump Diffusion ◽  
Commodity Futures ◽  
Diffusion Factor ◽  
Factor Estimation

Latent jump diffusion factor estimation for commodity futures

2018 ◽  
Vol 9 ◽  
pp. 35-54 ◽  
Author(s):  
M.A.H. Dempster ◽  
Elena Medova ◽  
Ke Tang
Keyword(s):  
Jump Diffusion ◽  
Commodity Futures ◽  
Diffusion Factor ◽  
Factor Estimation

scholarly journals Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model

2011 ◽  
Vol 2 (1) ◽  
pp. 22-54 ◽  
Author(s):  
Mark Davis ◽  
Sébastien Lleo
Keyword(s):  
Asset Management ◽  
Factor Model ◽  
Jump Diffusion ◽  
Diffusion Factor ◽  
Risk Sensitive

scholarly journals Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model

2013 ◽  
Vol 51 (2) ◽  
pp. 1441-1480 ◽  
Author(s):  
Mark Davis ◽  
Sébastien Lleo
Keyword(s):  
Asset Management ◽  
Factor Model ◽  
Jump Diffusion ◽  
Diffusion Factor ◽  
Risk Sensitive

scholarly journals A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models

2017 ◽  
Vol 309 ◽  
pp. 435-441 ◽  
Author(s):  
L. Gómez-Valle ◽  
Z. Habibilashkary ◽  
J. Martínez-Rodríguez
Keyword(s):  
Jump Diffusion ◽  
Commodity Futures ◽  
New Technique ◽  
Neutral Processes ◽  
Risk Neutral ◽  
A New Technique

Efficient Use of Commodity Futures in Diversified Portfolios

CFA Digest ◽  
2001 ◽  
Vol 31 (1) ◽  
pp. 63-64
Author(s):  
Charles F. Peake
Keyword(s):  
Commodity Futures

Trend-Following Trading Strategies in Commodity Futures: A Re-Examination

CFA Digest ◽  
2010 ◽  
Vol 40 (2) ◽  
pp. 5-7
Author(s):  
Yazann S. Romahi
Keyword(s):  
Trading Strategies ◽  
Commodity Futures

Optimal investment and reinsurance strategies under jump-diffusion process

2014 ◽  
Author(s):  
Suoping Li ◽  
Jinliang Fan ◽  
Xinxin Jiang
Keyword(s):  
Diffusion Process ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Jump Diffusion Process

THE USE OF XFEM FOR STRESS INTENSITY FACTOR ESTIMATION OF SURFACE CRACKS

2017 ◽  
Author(s):  
Antonio Almeida Silva ◽  
Marco Antonio dos Santos ◽  
Gabriel Coêlho
Keyword(s):  
Stress Intensity Factor ◽  
Stress Intensity ◽  
Intensity Factor ◽  
Surface Cracks ◽  
Factor Estimation

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options
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