Some features of this site may not work without it. Toggle navigation. Commodity market modeling and physical trading strategies Author s Ellefsen, Per Einar. Download Full printable version 2. Other Contributors Massachusetts Institute of Technology. Advisor Paul D. Terms of use M. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. Metadata Show full item record.
Abstract Investment and operational decisions involving commodities are taken based on the forward prices of these commodities. These prices are volatile, and a model of their evolution must correctly account for their volatility and correlation term structure.
A two-factor model of the forward curve is proposed and calibrated to the crude oil, shipping, natural gas, and heating oil markets. The theoretical properties of this model are explored, with focus on its decomposition into independent factors affecting the level and slope of the forward curve. The two-factor model is then applied to two problems involving commodity prices.
Friedman does a great job of taking complex problems. As an electronic PDF soft-copy, it will be delivered to you by email. You will need to provide your email address, where you want the constitution to be sent to. A confirmation email will be sent to the email address you provided, to ensure the request is not made in error, or in mischief by a third party. Once you submit the request, go to your inbox, find the confirmation email and click the confirmation link, which will immediately trigger the download process.
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