PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures
References
- Ames M, Bagnarosa G, Matsui T, Peters GW, Shevchenko PV. Which risk factors drive oil futures price curves? Energy Economics 2020;87:104676. DOI: 10.1016/j.eneco.2020.104676
- Aspinall T, Gepp A, Harris G, Kelly S, Southam C, Vanstone BJ. NFCP: N-factor commodity pricing through term structure estimation. 2021.
https://cran.rstudio.com/web/packages/NFCP/index.html DOI: 10.32614/CRAN.package.NFCP - Bernard J-T, Khalaf L, Kichian M, McMahon S. Forecasting commodity prices: GARCH, jumps, and mean reversion. Journal of Forecasting 2008;27(4):279–291. DOI: 10.1002/for.1061
- Byrd RH, Lu P, Nocedal J, Zhu C. A limited memory algorithm for bound constrained optimization. SIAM Journal on Scientific Computing 1995;16(5):1190–1208. DOI: 10.1137/0916069
- Casassus J, Collin-Dufresne P. Stochastic convenience yield implied from commodity futures and interest rates. The Journal of Finance 2005;60(5):2283–2331. DOI: 10.1111/j.1540-6261.2005.00799.x
- Cortazar G, Naranjo L. An N-factor Gaussian model of oil futures prices. Journal of Futures Markets: Futures, Options, and Other Derivative Products 2006;26(3):243–268. DOI: 10.1002/fut.20198
- Da Fonseca J, Ignatieva K. Jump activity analysis for affine jump-diffusion models: evidence from the commodity market. Journal of Banking & Finance 2019;99, 45–62. DOI: 10.1016/j.jbankfin.2018.11.014
- Favetto B, Samson A. Parameter estimation for a bidimensional partially observed Ornstein–Uhlenbeck process with biological application. Scandinavian Journal of Statistics 2010;37(2):200–220. DOI: 10.1111/j.1467-9469.2009.00679.x
- Fernandez-Perez A, Fuertes A-M, Miffre J. The negative pricing of the May 2020 WTI contract. The Energy Journal 2023;44(1):119–142. DOI: 10.5547/01956574.44.1.afer
- Filipović D, Larsson M. Polynomial diffusions and applications in finance. Finance and Stochastics 2016;20(4):931–972. DOI: 10.1007/s00780-016-0304-4
- Filipović D, Larsson M. Polynomial jump-diffusion models. Stochastic Systems 2020;10(1):71–97. DOI: 10.1287/stsy.2019.0052
- Gibson R, Schwartz ES. Stochastic convenience yield and the pricing of oil contingent claims. The Journal of Finance 1990;45(3):959–976. DOI: 10.1111/j.1540-6261.1990.tb05114.x
- Harvey AC. Forecasting, structural time series models and the Kalman filter. 1990. DOI: 10.1017/CBO9781107049994
- He P, Kordzakhia N, Peters GW, Shevchenko PV.
Multi-factor polynomial diffusion models and inter-temporal futures dynamics , In: 2021-2022 MATRIX Annals. Springer; 2024. pp. 363–382. DOI: 10.1007/978-3-031-47417-0_18 - Julier SJ, Uhlmann JK.
New extension of the Kalman filter to nonlinear systems . In: Signal processing, sensor fusion, and target recognition VI, Vol. 3068. SPIE; 1997. pp. 182–193. DOI: 10.1117/12.280797 - Julier SJ, Uhlmann JK. Unscented filtering and nonlinear estimation. Proceedings of the IEEE 2004;92(3):401–422. DOI: 10.1109/JPROC.2003.823141
- Kiesel R, Schindlmayr G, Börger RH. A two-factor model for the electricity forward market. Quantitative Finance 2009;9(3):279–287. DOI: 10.1080/14697680802126530
- Kleisinger-Yu X, Komaric V, Larsson M, Regez M. A multifactor polynomial framework for long-term electricity forwards with delivery period. SIAM Journal on Financial Mathematics 2020;11(3):928–957. DOI: 10.1137/19M1283264
- Manoliu M, Tompaidis S. Energy futures prices: term structure models with Kalman filter estimation. Applied Mathematical Finance 2002;9(1):21–43. DOI: 10.1080/13504860210126227
- Nguyen DBB, Prokopczuk M. Jumps in commodity markets. Journal of Commodity Markets 2019;13, 55–70. DOI: 10.1016/j.jcomm.2018.10.002
- Peters GW, Briers M, Shevchenko P, Doucet A. Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Methodology and Computing in Applied Probability 2013;15, 841–874. DOI: 10.1007/s11009-012-9286-7
- Schwartz E, Smith JE. Short-term variations and long-term dynamics in commodity prices. Management Science 2000;46(7):893–911. DOI: 10.1287/mnsc.46.7.893.12034
- Sørensen C. Modeling seasonality in agricultural commodity futures. Journal of Futures Markets: Futures, Options, and Other Derivative Products 2002;22(5):393–426. DOI: 10.1002/fut.10017
- Wan EA, Van Der Merwe R.
The unscented Kalman filter for nonlinear estimation . In: Proceedings of the IEEE 2000 adaptive systems for signal processing, communications, and control symposium (Cat. No. 00EX373). IEEE; 2000. pp. 153–158. DOI: 10.1109/ASSPCC.2000.882463
DOI: https://doi.org/10.5334/jors.537 | Journal eISSN: 2049-9647
Language: English
Submitted on: Sep 22, 2024
Accepted on: Sep 15, 2025
Published on: Oct 3, 2025
Published by: Ubiquity Press
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
© 2025 Peilun He, Nino Kordzakhia, Gareth W. Peters, Pavel V. Shevchenko, published by Ubiquity Press
This work is licensed under the Creative Commons Attribution 4.0 License.