| Name : R-NFCP
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| Version : 1.2.1
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.1.12
| Date : 2024-06-14 11:34:11
|
| Group : Development/Libraries/Other
| Source RPM : R-NFCP-1.2.1-lp153.1.12.src.rpm
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| Size : 0.63 MB
| |
| Packager : (none)
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| Summary : N-Factor Commodity Pricing Through Term Structure Estimation
|
Description :
Commodity pricing models are (systems of) stochastic differential
equations that are utilized for the valuation and hedging of commodity
contingent claims (i.e. derivative products on the commodity) and other
commodity related investments. Commodity pricing models that capture
market dynamics are of great importance to commodity market
participants in order to exercise sound investment and risk-management
strategies. Parameters of commodity pricing models are estimated
through maximum likelihood estimation, using available term structure
futures data of a commodity. \'NFCP\' (n-factor commodity pricing)
provides a framework for the modeling, parameter estimation,
probabilistic forecasting, option valuation and simulation of commodity
prices through state space and Monte Carlo methods, risk-neutral
valuation and Kalman filtering. \'NFCP\' allows the commodity pricing
model to consist of n correlated factors, with both random walk and
mean-reverting elements. The n-factor commodity pricing model framework
was first presented in the work of Cortazar and Naranjo (2006)
< doi:10.1002/fut.20198>. Examples presented in \'NFCP\' replicate the
two-factor crude oil commodity pricing model presented in the prolific
work of Schwartz and Smith (2000) < doi:10.1287/mnsc.46.7.893.12034>
with the approximate term structure futures data applied within this
study provided in the \'NFCP\' package.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
