Blar i Publikasjoner fra Cristin - INN på tidsskrift "Annals of Operations Research"
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Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
(Peer reviewed; Journal article, 2021)In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained ... -
Systematic risk in the biopharmaceutical sector: a multiscale approach
(Peer reviewed; Journal article, 2021)It is well documented that the biopharmaceutical sector has exhibited weak financial returns,contributing to underinvestment. Innovations in the industry carry high risks; however, ananalysis of systematic risk and return ...