Mark Briers

QinetiQ Ltd

United Kingdom

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Scholarly Papers (1)

1.

Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts

Methodology and Computing in Applied Probability 15(4), pp. 841-874, December 2013, DOI 10.1007/s11009-012-9286-7
Posted: 29 Nov 2014
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, QinetiQ Ltd, Macquarie University and University of Cambridge - Department of Engineering

Abstract:

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Multi-factor, Commodity, spot price, Stochastic volatility, Milstein, Adaptive Markov chain Monte Carlo, Particle filter, Rao-Blackwellization