TY - JOUR AU - Barlow, M. T. PY - 2002 DA - 2002// TI - A diffusion model for electricity prices JO - Math. Finance VL - 12 UR - https://doi.org/10.1111/j.1467-9965.2002.tb00125.x DO - 10.1111/j.1467-9965.2002.tb00125.x ID - Barlow2002 ER - TY - JOUR AU - Bastian-Pinto, C. AU - Brandão, L. AU - Hahn, W. J. PY - 2009 DA - 2009// TI - Flexibility as a source of value in the production of alternative fuels: the ethanol case JO - Energy Econ. VL - 31 UR - https://doi.org/10.1016/j.eneco.2009.02.004 DO - 10.1016/j.eneco.2009.02.004 ID - Bastian-Pinto2009 ER - TY - JOUR AU - Benth, F. E. AU - Karlsen, K. H. PY - 2005 DA - 2005// TI - A note on Merton’s portfolio selection problem for the Schwartz mean-reversion model JO - Stoch. Anal. Appl. VL - 23 UR - https://doi.org/10.1081/SAP-200064457 DO - 10.1081/SAP-200064457 ID - Benth2005 ER - TY - JOUR AU - Bessembinder, H. AU - Coughenour, J. F. AU - Seguin, P. J. AU - Smoller, M. M. PY - 1995 DA - 1995// TI - Mean reversion in equilibrium asset prices: evidence from the futures term structure JO - J. Finance VL - 50 UR - https://doi.org/10.1111/j.1540-6261.1995.tb05178.x DO - 10.1111/j.1540-6261.1995.tb05178.x ID - Bessembinder1995 ER - TY - BOOK AU - Bona, T. AU - Llansana, J. PY - 1999 DA - 1999// TI - Física y Química PB - Carroggio CY - Barcelona ID - Bona1999 ER - TY - STD TI - Brajkovic, J.: Real-options approach to investment in base load coal fired plant. Working paper (2010) ID - ref6 ER - TY - JOUR AU - Casassus, J. AU - Collin-Dufresne, P. PY - 2005 DA - 2005// TI - Stochastic convenience yield implied from commodity futures and interest rates JO - J. Finance VL - 60 UR - https://doi.org/10.1111/j.1540-6261.2005.00799.x DO - 10.1111/j.1540-6261.2005.00799.x ID - Casassus2005 ER - TY - JOUR AU - Chaiyapo, N. AU - Phewchean, N. PY - 2017 DA - 2017// TI - An application of Ornstein–Uhlenbeck process to commodity pricing in Thailand JO - Adv. Differ. Equ. VL - 2017 UR - https://doi.org/10.1186/s13662-017-1234-y DO - 10.1186/s13662-017-1234-y ID - Chaiyapo2017 ER - TY - STD TI - Dias, M.: Stochastic processes with focus in petroleum applications, Part 2—mean reversion models. http://marcoagd.usuarios.rdc.puc-rio.br/revers.html#mean-rev UR - http://marcoagd.usuarios.rdc.puc-rio.br/revers.html#mean-rev ID - ref9 ER - TY - BOOK AU - Dixit, A. K. AU - Pindyck, R. S. PY - 1994 DA - 1994// TI - Investment Under Uncertainty PB - Princeton University Press CY - Princeton ID - Dixit1994 ER - TY - BOOK AU - Geman, H. PY - 2005 DA - 2005// TI - Commodities and Commodity Derivatives PB - Wiley CY - West Sussex ID - Geman2005 ER - TY - JOUR AU - Gibson, R. AU - Schwartz, E. S. PY - 1990 DA - 1990// TI - Stochastic convenience yield and the pricing of oil contingent claims JO - J. Finance VL - 45 UR - https://doi.org/10.1111/j.1540-6261.1990.tb05114.x DO - 10.1111/j.1540-6261.1990.tb05114.x ID - Gibson1990 ER - TY - BOOK AU - Harvey, A. C. PY - 1990 DA - 1990// TI - Forecasting, Structural Time Series Models and the Kalman Filter PB - Cambridge University Press CY - Cambridge UR - https://doi.org/10.1017/CBO9781107049994 DO - 10.1017/CBO9781107049994 ID - Harvey1990 ER - TY - JOUR AU - Harville, A. PY - 1985 DA - 1985// TI - Decomposition of prediction error JO - J. Am. Stat. Assoc. VL - 80 UR - https://doi.org/10.1080/01621459.1985.10477152 DO - 10.1080/01621459.1985.10477152 ID - Harville1985 ER - TY - BOOK AU - Kellerhals, B. P. PY - 2001 DA - 2001// TI - Financial Pricing Models in Continuous Time and Kalman Filtering PB - Springer CY - Berlin UR - https://doi.org/10.1007/978-3-662-21901-0 DO - 10.1007/978-3-662-21901-0 ID - Kellerhals2001 ER - TY - BOOK AU - Laguna, A. PY - 2008 DA - 2008// TI - Modern Supramolecular Gold Chemistry: Gold-Metal Interactions and Applications PB - Wiley CY - Weinheim UR - https://doi.org/10.1002/9783527623778 DO - 10.1002/9783527623778 ID - Laguna2008 ER - TY - JOUR AU - Laughton, D. G. AU - Jacoby, H. D. PY - 1993 DA - 1993// TI - Reversion, timing options, and long-term decision-making JO - Financ. Manag. VL - 22 UR - https://doi.org/10.2307/3665940 DO - 10.2307/3665940 ID - Laughton1993 ER - TY - JOUR AU - Lautier, D. PY - 2005 DA - 2005// TI - Term structure models of commodity prices: a review JO - J. Altern. Invest. VL - 8 UR - https://doi.org/10.3905/jai.2005.523082 DO - 10.3905/jai.2005.523082 ID - Lautier2005 ER - TY - CHAP AU - Önalan, O. PY - 2009 DA - 2009// TI - Financial modelling with Ornstein–Uhlenbeck processes driven by Lévy process BT - Proceedings of the World Congress on Engineering ID - Önalan2009 ER - TY - JOUR AU - Phillips, P. C. B. AU - Yu, J. PY - 2005 DA - 2005// TI - Jackknifing bond option prices JO - Rev. Financ. Stud. VL - 18 UR - https://doi.org/10.1093/rfs/hhi018 DO - 10.1093/rfs/hhi018 ID - Phillips2005 ER - TY - JOUR AU - Pyndick, R. S. PY - 2001 DA - 2001// TI - The dynamics of commodity spot and futures markets: a primer JO - Energy J. VL - 22 ID - Pyndick2001 ER - TY - STD TI - Ribeiro, D.R., Hodges, S.D.: Equilibrium model for commodity prices: competitive and monopolistic markets. Working Paper (2004) ID - ref22 ER - TY - BOOK AU - Rohde, C. A. PY - 2014 DA - 2014// TI - Introductory Statistical Inference with the Likelihood Function PB - Springer CY - New York UR - https://doi.org/10.1007/978-3-319-10461-4 DO - 10.1007/978-3-319-10461-4 ID - Rohde2014 ER - TY - STD TI - Ross, S.: Hedging long run commitments: exercises in incomplete market pricing. Working paper (1995) ID - ref24 ER - TY - JOUR AU - Routledge, B. R. AU - Seppi, D. J. AU - Spatt, C. S. PY - 2000 DA - 2000// TI - Equilibrium forward curves for commodities JO - J. Finance VL - 55 UR - https://doi.org/10.1111/0022-1082.00248 DO - 10.1111/0022-1082.00248 ID - Routledge2000 ER - TY - JOUR AU - Sauvageau, M. AU - Kumral, M. PY - 2018 DA - 2018// TI - Genetic algorithms for the optimization of the Schwartz–Smith two-factor model: a case study on a copper deposit JO - Int. J. Surf. Min. Reclam. Environ. VL - 32 UR - https://doi.org/10.1080/17480930.2016.1260858 DO - 10.1080/17480930.2016.1260858 ID - Sauvageau2018 ER - TY - JOUR AU - Schwartz, E. S. PY - 1997 DA - 1997// TI - The stochastic behavior of commodity prices: implications for valuation and hedging JO - J. Finance VL - 52 UR - https://doi.org/10.1111/j.1540-6261.1997.tb02721.x DO - 10.1111/j.1540-6261.1997.tb02721.x ID - Schwartz1997 ER - TY - JOUR AU - Shafiee, S. AU - Topal, E. PY - 2010 DA - 2010// TI - An overview of global gold market and gold price forecasting JO - Resour. Policy VL - 35 UR - https://doi.org/10.1016/j.resourpol.2010.05.004 DO - 10.1016/j.resourpol.2010.05.004 ID - Shafiee2010 ER - TY - JOUR AU - Sjaastad, L. A. PY - 2008 DA - 2008// TI - The price of gold and the exchange rates: once again JO - Resour. Policy VL - 33 UR - https://doi.org/10.1016/j.resourpol.2007.10.002 DO - 10.1016/j.resourpol.2007.10.002 ID - Sjaastad2008 ER - TY - STD TI - Smith, W.: On the simulation and estimation of mean-reverting Ornstein–Uhlenbeck process: especially as applied to commodities markets and modelling (2010) ID - ref30 ER - TY - JOUR AU - Tanaka, A. T. AU - Carrasco, C. M. PY - 2017 DA - 2017// TI - Valorización de opciones reales: el modelo Ornstein–Uhlenbeck JO - J. Econ. Finance Adm. Sci. VL - 21 ID - Tanaka2017 ER - TY - JOUR AU - Tang, K. AU - Wei, X. PY - 2012 DA - 2012// TI - Index investment and the financialization of commodities JO - Financ. Anal. J. VL - 68 UR - https://doi.org/10.2469/faj.v68.n6.5 DO - 10.2469/faj.v68.n6.5 ID - Tang2012 ER - TY - JOUR AU - Uhlenbeck, G. E. AU - Ornstein, L. S. PY - 1930 DA - 1930// TI - On the theory of the Brownian motion JO - Phys. Rev. VL - 36 UR - https://doi.org/10.1103/PhysRev.36.823 DO - 10.1103/PhysRev.36.823 ID - Uhlenbeck1930 ER - TY - STD TI - Van den Berg: Calibrating the Ornstein–Uhlenbeck (Vasicek) model. http://www.statisticshowto.com/wp-content/uploads/2016/01/Calibrating-the-Ornstein.pdf UR - http://www.statisticshowto.com/wp-content/uploads/2016/01/Calibrating-the-Ornstein.pdf ID - ref34 ER -