A Calibration of Corn Spot Prices: Revisiting Kalman Filter and Two-Factor Commodity Pricing Model

2014 ◽  
Author(s):  
Tianpeng Zhou
Keyword(s):  
Kalman Filter ◽  
Pricing Model ◽  
Commodity Pricing ◽  
Spot Prices

Cointegrated Commodity Pricing Model

2009 ◽  
Author(s):  
Katsushi Nakajima ◽  
Kazuhiko Ohashi
Keyword(s):  
Pricing Model ◽  
Commodity Pricing

CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS

2004 ◽  
Vol 07 (02) ◽  
pp. 101-120 ◽  
Author(s):  
MARTIN BARLOW ◽  
YURI GUSEV ◽  
MANPO LAI
Keyword(s):  
Kalman Filter ◽  
Stochastic Processes ◽  
Extended Kalman Filter ◽  
Electricity Markets ◽  
Kalman Filters ◽  
Historical Data ◽  
Spot Price ◽  
Market Data ◽  
Multifactor Models ◽  
Spot Prices

Spot prices of electricity and other energy commodities are often modeled by multifactor stochastic processes. This poses a problem of estimating models' parameters based on historical data, i.e. calibrating them to markets. Here we show how a traditional tool of Kalman Filters can be successfuly applied to do this task. We study two mean-reverting log-spot price models and the Pilipovic model using correspondingly Kalman Filter the extended Kalman Filter. The results of applying this method to market data from several power exchanges are discussed.

A cointegrated commodity pricing model

2011 ◽  
Vol 32 (11) ◽  
pp. 995-1033 ◽  
Author(s):  
Katsushi Nakajima ◽  
Kazuhiko Ohashi
Keyword(s):  
Pricing Model ◽  
Commodity Pricing

scholarly journals A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

2014 ◽  
Vol 21 (2) ◽  
pp. 151-174
Author(s):  
Takashi Kato ◽  
Jun Sekine ◽  
Hiromitsu Yamamoto
Keyword(s):  
Partial Information ◽  
Pricing Model ◽  
Commodity Pricing
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