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1073. Revisiting the Gibson-Schwartz and Schwartz-Smith Commodity Models
Invited abstract in session MA-57: Modelling commodity markets dynamics, stream Modern Decision Making in Finance and Insurance.
Monday, 8:30-10:00Room: S06 (building: 101)
Authors (first author is the speaker)
| 1. | Lorenz Schneider
|
| Economics, Finance, Accounting, EMLYON Business School | |
| 2. | Bertrand Tavin
|
| EMLYON Business School |
Abstract
We extend the Gibson-Schwartz (1990) and Schwartz-Smith (2000) models to include stochastic volatility and correlation based on the generalized Wishart variance-covariance matrix process. We study European option pricing via characteristic functions. Furthermore, we perform parameter estimation via maximum likelihood based on the state space formulation of the models.
Keywords
- Financial Modelling
- Risk Analysis and Management
- Stochastic Models
Status: accepted
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