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NFCP: N-Factor Commodity Pricing Through Term Structure Estimation
Thomas Aspinall
,
Adrian Gepp
, Geoffrey Harris
, Simone Kelly
, Colette Southam
,
Bruce J Vanstone
Bond University
Research output
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Keyphrases
Structure Estimation
100%
Commodity Pricing
100%
N-factor
100%
Pricing Model
75%
Future Information
25%
Market Participants
12%
Mean-reverting
12%
Commodity Prices
12%
Kalman Filter
12%
Modeling Parameters
12%
Risk-neutral Valuation
12%
Commodity Markets
12%
Contingent Claims
12%
Julio Cortázar
12%
Derivative Products
12%
Monte Carlo Method
12%
Option Valuation
12%
Hedging
12%
Random Walk
12%
Random Means
12%
Market Dynamics
12%
Naranjo
12%
Schwartz
12%
Systems of Stochastic Differential Equations
12%
Risk Management
12%
Crude Oil
12%
Parameter Estimation
12%
Maximum Likelihood Estimation
12%
Probabilistic Forecasting
12%
State Space
12%
Social Sciences
Pricing
100%
Commodity Market
14%
Strategy Management
14%
Risk Management
14%
Stochastics
14%
Commodity Price
14%
Crude Oil
14%
Economics, Econometrics and Finance
Pricing
100%
Monte Carlo Simulation
14%
Risk Management
14%
Hedging
14%
Commodity Market
14%