3 papers
q-fin.PR2018
Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets
Lorenz Schneider, Bertrand Tavin
We introduce a multi-factor stochastic volatility model for commodities that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corr…
q-fin.PR2015
Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets
Lorenz Schneider, Bertrand Tavin
We introduce a multi-factor stochastic volatility model based on the CIR/Heston volatility process that incorporates seasonality and the Samuelson effect. First, we give conditions…
q-fin.PR2011
A Family of Maximum Entropy Densities Matching Call Option Prices
Cassio Neri, Lorenz Schneider
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the…