Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Equilibrium commodity prices with irreversible investment and non-linear technologies

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2018.04.001 ◽

2018 ◽

Vol 95 ◽

pp. 128-147 ◽

Cited By ~ 8

Author(s):

Jaime Casassus ◽

Pierre Collin-Dufresne ◽

Bryan R. Routledge

Keyword(s):

Commodity Prices ◽

Irreversible Investment ◽

Non Linear

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Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

10.3386/w11864 ◽

2005 ◽

Cited By ~ 29

Author(s):

Jaime Casassus ◽

Pierre Collin-Dufresne ◽

Bryan Routledge

Keyword(s):

Commodity Prices ◽

Irreversible Investment ◽

Non Linear

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A Family of Non Linear Models in a Market with Semi Markov Regimes: Application to the Commodity and the Derivative Market

International Journal of Statistics and Probability ◽

10.5539/ijsp.v6n6p137 ◽

2017 ◽

Vol 6 (6) ◽

pp. 137

Author(s):

Patrick Assonken ◽

Gangaram S. Ladde

Keyword(s):

Regime Switching ◽

Linear Models ◽

Commodity Prices ◽

Heston Model ◽

Closed Formula ◽

Option Prices ◽

Markov Regime Switching ◽

The Family ◽

Non Linear ◽

Derivative Market

This paper introduces a family of coupled semi Markov regime switching multidimensional non linear models for general asset prices. Two particular instances of the models are explored. The first instance is one modeling commodity prices. Estimation formulas for historical parameters are developed. The second instance of the family of models introduced is one generalizing Heston model. It allows for semi Markov regime switching of Heston parameters. We develop a general semi closed formula for vanilla option prices given the risk neutral option parameters.

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Linear and non-linear causality between price indices and commodity prices

Resources Policy ◽

10.1016/j.resourpol.2014.02.006 ◽

2014 ◽

Vol 41 ◽

pp. 40-51 ◽

Cited By ~ 21

Author(s):

Viviana Fernandez

Keyword(s):

Commodity Prices ◽

Price Indices ◽

Non Linear

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B. The Non-Linear Calculations for Pulsating Stars

Symposium - International Astronomical Union ◽

10.1017/s0074180900019008 ◽

1967 ◽

Vol 28 ◽

pp. 105-176

Author(s):

Robert F. Christy

Keyword(s):

Major Part ◽

Afternoon Session ◽

Discussion Session ◽

Pulsating Stars ◽

Fourth Symposium ◽

Non Linear ◽

Considerable Discussion ◽

Informal Approach ◽

Preceding Session

(Ed. note: The custom in these Symposia has been to have a summary-introductory presentation which lasts about 1 to 1.5 hours, during which discussion from the floor is minor and usually directed at technical clarification. The remainder of the session is then devoted to discussion of the whole subject, oriented around the summary-introduction. The preceding session, I-A, at Nice, followed this pattern. Christy suggested that we might experiment in his presentation with a much more informal approach, allowing considerable discussion of the points raised in the summary-introduction during its presentation, with perhaps the entire morning spent in this way, reserving the afternoon session for discussion only. At Varenna, in the Fourth Symposium, several of the summaryintroductory papers presented from the astronomical viewpoint had been so full of concepts unfamiliar to a number of the aerodynamicists-physicists present, that a major part of the following discussion session had been devoted to simply clarifying concepts and then repeating a considerable amount of what had been summarized. So, always looking for alternatives which help to increase the understanding between the different disciplines by introducing clarification of concept as expeditiously as possible, we tried Christy's suggestion. Thus you will find the pattern of the following different from that in session I-A. I am much indebted to Christy for extensive collaboration in editing the resulting combined presentation and discussion. As always, however, I have taken upon myself the responsibility for the final editing, and so all shortcomings are on my head.)

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