PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures Cover

PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures

Journal of Open Research Software

Volume 13 (2025): Issue 1

By: Peilun He , Nino Kordzakhia , Gareth W. Peters and Pavel V. Shevchenko

Open Access

|Oct 2025

Authors

Peilun He

peilun.he@mq.edu.au

PhD, Department of Actuarial Studies and Business Analytics, Macquarie University

Nino Kordzakhia

nino.kordzakhia@mq.edu.au

Senior Lecturer, School of Mathematical and Physical Sciences, Macquarie University

Gareth W. Peters

garethpeters@ucsb.edu

Professor, Department of Statistics and Applied Probability, University of California Santa Barbara

Pavel V. Shevchenko

pavel.shevchenko@mq.edu.au

Professor, Department of Actuarial Studies and Business Analytics, Macquarie University

DOI: https://doi.org/10.5334/jors.537 | Journal eISSN: 2049-9647

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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:

Polynomial diffusion model,

Schwartz-Smith model,

commodity futures,

two-factor commodity modelling,

financial simulation

© 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.

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