Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets
An arbitrage free multi-factor model is developed of the correlated forward curves of the crude oil, gasoline, heating oil and tanker shipping markets. Futures contracts trading on public exchanges are used as the primary underlying securities for the development of a multi-factor Gaussian Heath-Jar...
| Principais autores: | , |
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| Formato: | Working Paper |
| Publicado em: |
MIT Center for Energy and Environmental Policy Research
2009
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| Acesso em linha: | http://hdl.handle.net/1721.1/45099 |