Dr. Indranil SenGupta, North Dakota State University, A machine learning based improvement of the Barndorff-Nielsen and Shephard model: analysis of crude oil price
A commonly used stochastic model for the derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. At first, an application of the BN-S model will be presented to find an optimal hedging strategy for the oil commodity from the Bakken, a new region of oil extraction that is benefiting from fracking technology.…