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...

書誌詳細
主要な著者:	Ellefsen, Per Einar, Sclavounos, Paul D.
フォーマット:	Working Paper
出版事項:	MIT Center for Energy and Environmental Policy Research 2009
オンライン･アクセス:	http://hdl.handle.net/1721.1/45099

類似資料

Commodity market modeling and physical trading strategies
著者:: Ellefsen, Per Einar
出版事項: (2011)

Canonical correlation of shipping forward curves
著者:: Hadjiyiannis, Nicholas
出版事項: (2011)

Crude oil supply curves
著者:: Adelman, Morris Albert
出版事項: (2009)

Diversification In Crude Oil And Other Commodities: A Comparative Analysis
著者:: Abdullah, Ahmad Monir, 等
出版事項: (2016)

Investigation of price formation in different commodities in the seaborne trade : crude oil
著者:: Tan, Samuel Wei Khang
出版事項: (2016)

The physics of oil outflow from crude oil tankers during ship-ship collisions
著者:: Qu, Guan Lin
出版事項: (2016)

The physics of oil outflow from crude oil tankers during ship-ship collisions
著者:: Wang, Ya Xing
出版事項: (2015)

On the diffraction of free surface waves by a slender ship
著者:: Sclavounos, Paul D.
出版事項: (2005)

On the diffraction of free surface waves by a slender ship /
著者:: 369753 Sclavounos, Paul
出版事項: (1981)

Forward buying of non-commodity consumer goods
著者:: Kight, Jeffrey Wayne
出版事項: (2008)

Cathodic protection in crude oil tanks on ships (1950 - 1982)/
著者:: Turner, J. P., 等
出版事項: ([197)

Comparison of crude oil price transmission to food commodities for biofuel source and non-biofuel source
著者:: Prasmita Dian Wijayati, 等
出版事項: (2024-09-01)

Empirical Correlations for K-Values of Crude Oils
著者:: Jose V. Flores-Cano, 等
出版事項: (2022-01-01)

The hedging efficiency of crude oil markets
著者:: Horsnell, P, 等
出版事項: (1995)

Crude power : politics and the oil market /
著者:: 1942-
出版事項: (2006)

When will the next shipping recovery for crude oil tanker industry arrive?
著者:: Chew, Min Yu
出版事項: (2017)

A statistical interpretation of a market demand curve for a commodity obeying the law of demand
著者:: Somdeb Lahiri
出版事項: (2024-04-01)

Predictive analytics for crude oil tanker markets
著者:: Babakan, Kayhan.
出版事項: (2021)

Crude palm oil and its futures market
著者:: , PARDEDE, Ronaldo, 等
出版事項: (2002)

Impact of crude oil prices on the Malaysian palm oil market
著者:: Applanaidu, Shri Dewi, 等
出版事項: (2013)

Inside the commodity option markets/
著者:: 444888 Labuszewski, John, 等
出版事項: (1985)

Model uncertainty in commodity markets
著者:: Cartea, Á, 等
出版事項: (2016)

COMMODITY MARKET MATH MODELS
著者:: Boris V. Mednikov, 等
出版事項: (2016-08-01)

Multi mean garch approach to evaluating hedging performance in the crude palm oil futures market
著者:: Zainudin, Rozaimah, 等
出版事項: (2011)

Enhancing Liquidity in the Indian Commodity Derivatives Markets: Linking Agriculture Trade to Commodity Derivative Markets
著者:: T. K. Soni, 等
出版事項: (2024-12-01)

Will a crude oil price band stabilise the market
著者:: Fattouh, B
出版事項: (2009)

Prospects of the crude oil tanker market 2013 - 2017
著者:: Wee, Rachel Jack Yin.
出版事項: (2013)

Effect of the crude oil on corrosion of steel in crude oil /
著者:: 273761 Efird, K. D., 等

Flow characteristics analysis of an ultrathin forward-curved multi-blade centrifugal fan
著者:: Weiwei Liao, 等
出版事項: (2025-12-01)

Price volatility of strategic commodities : correlation or causation.
著者:: Koh, Deng Qiang., 等
出版事項: (2013)

Price distortions in the commodity futures markets
著者:: Helfrich, Devin B
出版事項: (2013)

The dynamics of commodity spot and futures markets
著者:: Pindyck, Robert S.
出版事項: (2009)

Agricultural marketing issues of selected commodities
著者:: Mohamed Arshad, Fatimah, 等
出版事項: (2012)

Primary commodities : market developments and outlook/
著者:: International Monetary Fund. Commodities Division
出版事項: (1990)

Primary commodities : market developments and outlook /
著者:: International Monetary Fund. Commodities Division
出版事項: (1987)

Market potential for selected commodities-1979/
著者:: 2610 FAMA
出版事項: ([198)

The influence of COVID-19 on the commodity markets
著者:: Claudia Wellenreuther
出版事項: (2020-08-01)

Testing for bubbles in agriculture commodity markets
著者:: Francisco José Areal, 等
出版事項: (2016-06-01)

Ship emissions accounting in the port of Singapore – a preliminary analysis on the crude oil tanker segment
著者:: Tan, Lovine Nin
出版事項: (2022)

Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets
著者:: Jassim Aladwani
出版事項: (2025-03-01)