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- W1525391943 abstract "The stochastic or random nature of commodity prices plays a central role in models for valuing financial contingent claims commodities. In this paper, by enhancing a multifactor framework which is consistent not only with the market observable forward price curve but also the volatilities and correlations of forward prices, we propose a two factor stochastic volatility model for the evolution of the gas forward curve. The volatility is stochastic due to a hidden Markov Chain that causes it to switch between on peak and off peak states. Based the structure functional forms for the volatility, we propose and implement the Markov Chain Monte Carlo (MCMC) method to estimate the parameters of the forward curve model. Applications to simulated data indicate that the proposed algorithm is able to accommodate more general features, such as regime switching and seasonality. Applications to the market gas forward data shows that the MCMC approach provides stable estimates." @default.
- W1525391943 created "2016-06-24" @default.
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- W1525391943 date "2009-11-01" @default.
- W1525391943 modified "2023-09-28" @default.
- W1525391943 title "Modelling and Estimating the Forward Price Curve in the Energy Market" @default.
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