Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy

By Helyette Geman. 2005

449 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e20e4e93b7ef47399f0faf7a4a0c9d660763b850

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Citations in the corpus

Drift estimation for a periodic mean reversion process (2010, methodology): “The conditions on the drift coefficient, here (3) S(θ, t,Xt) = p ∑”
Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem (2012, background): “See Geman (2005) for a discussion of futures prices and the risk neutral dynamics of commodity prices It is not unreasonable to expect that the workings of supply and demand will result in commodity prices that exhibit some sort of mean reversion.”
Valuation of energy storage: an optimal switching approach (2010, background): “In the near future, the industry will expand even more with the rolling out of LNG technology and associated storage in North America (see Geman 2005 for the general trends and organization of the gas universe).”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “…is because the value of commodities is driven by factors such as weather and geopolitical conditions, supply constraints in the physical production, and event risk that are distinct from those that determine the value of stocks and bonds (see also Anson, 2002, and Geman, 2005, for a discussion).”
Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017, background): “…agricultural commodity prices (e.g., weather variations, supply constraints) are different from those influencing the values of equities and bonds (Geman, 2005; Geman and Kharoubi, 2008), commodity prices exhibit lower correlation with the traditional asset class; (3) commodities extend more…”
A model of carbon price interactions with macroeconomic and energy dynamics (2011, background): “30 See Geman (2005) for a more detailed analysis of the construction, the coverage,”
TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, background): “Mean reversion and jumps are two of the salient features of commodities prices (see monographs Eydeland and Wolyniec 2003 and Geman 2005, 2008, for introduction to commodity and energy derivatives markets and modeling).”
Nuclear Power: A Hedge against Uncertain Gas and Carbon Prices? (2006, background): “In the case of electricity, price variability corresponds to usual daily and seasonal fluctuation patterns which are easy to forecast (Geman, 2005, Li and Flynn, 2004).”