{"id":"W2004307148","doi":"10.1137/100791609","title":"Lévy-Based Cross-Commodity Models and Derivative Valuation","year":2011,"lang":"en","type":"article","venue":"SIAM Journal on Financial Mathematics","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":9,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Toronto","funders":"","keywords":"Valuation (finance); Economics; Cointegration; Econometrics; Market liquidity; Lévy process; Monte Carlo method; Valuation of options; Commodity; Financial economics; Commodity swap; Futures contract; Finance; Mathematics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002091031,0.0008800367,0.001115482,0.001180217,0.0005827317,0.002050383,0.001852955,0.002255397,0.003731383],"category_scores_gemma":[0.005475262,0.0005764109,0.001310696,0.001273738,0.001895695,0.003092422,0.001456561,0.002066294,0.0003896952],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.001468682,"about_ca_system_score_gemma":0.000822471,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.006153949,"about_ca_topic_score_gemma":0.003493237,"domain_scores_codex":[0.9994112,0.0003000231,0.00002791967,0.00007349354,0.0001114323,0.00007594379],"domain_scores_gemma":[0.9981376,0.001062217,0.000276091,0.0001594357,0.0001685441,0.000196158],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.00002619467,0.00002503199,0.0008788588,0.00001872292,0.00003995285,0.0001324574,0.00005982141,0.6353884,0.0004479936,0.3583625,0.0005869498,0.004033114],"study_design_scores_gemma":[0.000003809547,0.000004738174,0.00006384456,0.00000208859,0.000003114443,0.00001223797,0.000005447185,0.9488513,0.00003293646,0.05078098,0.0002335558,0.000005916682],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.08732814,0.001232069,0.9012938,0.001182488,0.0001413265,0.00002804574,0.000152789,0.0001667799,0.00847465],"genre_scores_gemma":[0.9445098,0.0009498631,0.03978029,0.0001466081,0.000130758,0.00007175658,0.0001687283,0.00007909123,0.01416317],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.006153949,"threshold_uncertainty_score":0.0124827,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1171881353508966,"score_gpt":0.2711540005209813,"score_spread":0.1539658651700846,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}