Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets

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...

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Bibliographic Details
Main Authors:	Ellefsen, Per Einar, Sclavounos, Paul D.
Format:	Working Paper
Published:	MIT Center for Energy and Environmental Policy Research 2009
Online Access:	http://hdl.handle.net/1721.1/45099

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