Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes

Olusegun Michael Otunuga

Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes

Olusegun Michael Otunuga

University of South Florida

Research output: Thesis › Doctoral Thesis

Original language	American English
Qualification	Ph.D.
Awarding Institution	University of South Florida
Supervisors/Advisors	Ladde, Gangaram, Advisor, External person
State	Published - Jun 27 2014
Externally published	Yes

Keywords

Delayed Volatility
Extended Kalman Filter
Local Lagged adapted Generalized Method of Moments
Risk-Neutral Dynamics
Stochastic Hybrid System

Disciplines

Mathematics
Statistics and Probability

Access to Document

Stochastic Modeling and Analysis of Energy Commodity Spot Price PFinal published version, 6.13 MBLicense: Unspecified

Cite this

@phdthesis{dceee397b84d49409a14b4e4147b40d0,

title = "Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes",

keywords = "Delayed Volatility, Extended Kalman Filter, Local Lagged adapted Generalized Method of Moments, Risk-Neutral Dynamics, Stochastic Hybrid System",

author = "Otunuga, \{Olusegun Michael\}",

year = "2014",

month = jun,

day = "27",

language = "American English",

school = "University of South Florida",

}

TY - BOOK

T1 - Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes

AU - Otunuga, Olusegun Michael

PY - 2014/6/27

Y1 - 2014/6/27

KW - Delayed Volatility

KW - Extended Kalman Filter

KW - Local Lagged adapted Generalized Method of Moments

KW - Risk-Neutral Dynamics

KW - Stochastic Hybrid System

UR - https://digitalcommons.usf.edu/etd/5289

M3 - Doctoral Thesis

ER -

Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes

Keywords

Disciplines

Access to Document

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Cite this