In this paper we propose a model for oil price dynamics for which we provide an estimation
method based on a recent technique named Particle Filtering. The model we are going to …

In this paper, we analyse spot prices and futures quotations to get inference in the crude oil
market. Data are referred to West Texas Intermediate (WTI) index which tracks the crude oil …

In this paper, we introduce a new jump process modeling which involves a particular kind of
non-Gaussian stochastic processes with random jumps at random time points. The main …

A DOUBLE CORRELATED THREE FACTOR MODEL FOR A CRUDE OIL MARKET 1.
Introduction One of the key elements in modeling crude oil mark Page 1 A DOUBLE …

This dissertation deals with the inference in a crude oil market, the West Texas Intermediate
(WTI) crude oil, whose futures are quoted on the New York Mercantile Exchange Market …

We study the identification problem for Bates stochastic volatility model, which is widely used
as the model of a stock in finance. By using the exact simulation method, a particle filter for …

To use a wider range of information available on the market, we propose a parameter
estimation and option pricing procedure which involves a two step approach: in a first step …

Options are one of the most dangerous financial instruments, one of the hardest to
understand. For example, to start trading options on the Interactive Brokers, the average …

Particle filtering in stochastic volatility/jump models has gained significant attention in the
last decade, with many distinguished researchers adding their contributions to this new field …

The Bates stochastic volatility model is widely used in the finance problem and the
sequential parameter estimation problem becomes important. By using the exact simulation …