Seasonal and stochastic effects in commodity forward curves

DOI10.1007/s11147-007-9008-4zbMath1274.91401OpenAlexW2096853160MaRDI QIDQ2462885

Svetlana Borovkova, Hélyette Geman

Publication date: 5 December 2007

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-007-9008-4

zbMATH Keywords

forward curveseasonalityenergy marketscommodity futures

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Jumps and stochastic volatility in crude oil prices and advances in average option pricing ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming ⋮ The dynamics of commodity prices ⋮ News, volatility and jumps: the case of natural gas futures ⋮ Long-term swings and seasonality in energy markets ⋮ On the seasonality in the implied volatility of electricity options ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW ⋮ Forward pricing in the shipping freight market

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Pricing Interest-Rate-Derivative Securities
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