The stochastic behaviour of commodity prices

By Henrik Andersson. 2003

88 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/302da7b319d17f517bbffc2a1e474fc1786085bb

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Fred Espen Benth
2. Steen Koekebakker
3. C. Landén
4. Tomas Björk
5. Nina Lange
6. Rafal Weron
7. Ole E. Barndorff-Nielsen
8. Virginia R. Young

Citations in the corpus

• On the Term Structure of Futures and Forward Prices (2002, methodology): “It is based on the model in [10] and appears in [18].”
• Stochastic modeling of financial electricity contracts (2008, methodology): “From (6.2) we propose a one factor ”Schwartz” swap model (6.4) Σ(t, T1, T2) = aφ(T1, T2), where (6.5) φ(T1, T2) = e−b(T1−t) − e−b(T2−t) b (T2 − T1) .”