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Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
Multi-Factor Commodity Spot Price Stochastic Volatility Milstein Adaptive Markov chain Monte Carlo Particle filter Rao-Blackwellization
2011/6/21
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend
the multi-factor long-short model in [1] and [2] in two important aspects: firstly we allow for both...