3 citations · 3 across the 6 of their papers we have counts for
7 papers
Euclidean Affine Functions and Applications to Calendar Algorithms
Cassio Neri, Lorenz Schneider
We study properties of Euclidean affine functions (EAFs), namely those of the form , and their closely related expression $\mathring{f}(r) = (α\cdot r + β)…
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…
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…
From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider, Bertrand Tavin
We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futur…
The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data
C. Neri, L. Schneider
We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we gen…
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…
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
C. Neri, L. Schneider
We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can…