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Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Peters, GW; Briers, M; Shevchenko, P; Doucet, A; (2013) Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY , 15 (4) pp. 841-874. 10.1007/s11009-012-9286-7.

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Type: Article
Title: Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts
DOI: 10.1007/s11009-012-9286-7
Keywords: Science & Technology, Physical Sciences, Statistics & Probability, Mathematics, STATISTICS & PROBABILITY, Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization, STOCHASTIC CONVENIENCE YIELD, INTEREST-RATES, CONTINGENT CLAIMS, JUMP-DIFFUSIONS, ADAPTIVE MCMC, VOLATILITY, ALGORITHMS, VALUATION, PRICES, DYNAMICS
UCL classification: UCL > School of BEAMS
UCL > School of BEAMS > Faculty of Maths and Physical Sciences
URI: http://discovery.ucl.ac.uk/id/eprint/1362483
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