Seasonal and stochastic effects in commodity forward curves

DOI10.1007/S11147-007-9008-4zbMATH Open1274.91401OpenAlexW2096853160MaRDI QIDQ2462885FDOQ2462885

Authors: Svetlana Borovkova, Helyette 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

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zbMATH Keywords

seasonalitycommodity futuresenergy marketsforward curve

Mathematics Subject Classification ID

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

Cites Work

• Pricing interest-rate-derivative securities
• Title not available (Why is that?)
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Title not available (Why is that?)
• Mean reversion versus random walk in oil and natural gas prices

Cited In (17)

• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• Forward pricing in the shipping freight market
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing
• Stochastic modeling for commodity prices and valuation of commodity derivatives under stochastic convenience yields and seasonality.
• A multiplicative seasonal component in commodity derivative pricing
• 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
• The dynamics of commodity prices
• Commodity price dynamics and derivative valuation: a review
• Analysis and Modelling of Electricity Futures Prices
• Commodity price modelling that matches current observables: a new approach
• Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
• Title not available (Why is that?)
• Valuation of commodity derivatives with an unobservable convenience yield
• From calendar time to business time: the case of commodity markets
• Seasonality in commodity prices: new approaches for pricing plain vanilla options

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