Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Time-Changed Ornstein-Uhlenbeck Processes And Their Applications In
  Commodity Derivative Models   This paper studies subordinate Ornstein-Uhlenbeck (OU) processes, i.e., OU
diffusions time changed by L\'{e}vy subordinators. We construct their sample
path decomposition, show that they possess mean-reverting jumps, study their
equivalent measure transformations, and the spectral representation of their
transition semigroups in terms of Hermite expansions. As an application, we
propose a new class of commodity models with mean-reverting jumps based on
subordinate OU process. Further time changing by the integral of a CIR process
plus a deterministic function of time, we induce stochastic volatility and time
inhomogeneity, such as seasonality, in the models. We obtain analytical
solutions for commodity futures options in terms of Hermite expansions. The
models are consistent with the initial futures curve, exhibit Samuelson's
maturity effect, and are flexible enough to capture a variety of implied
volatility smile patterns observed in commodities futures options.

14
The categories of this paper are: math-ph
18
The categories of this paper are: econ
34
The categories of this paper are: chem-ph
30
The categories of this paper are: q-alg
10
The categories of this paper are: q-bio
11
The categories of this paper are: hep-lat
29
The categories of this paper are: funct-an
25
The categories of this paper are: patt-sol
19
The categories of this paper are: eess
3
The categories of this paper are: physics
33
The categories of this paper are: plasm-ph
37
The categories of this paper are: supr-con
12
The categories of this paper are: nucl-th
35
The categories of this paper are: mtrl-th
9
The categories of this paper are: nlin
1
The categories of this paper are: cs