Seasonal and stochastic effects in commodity forward curves

Author:

Borovkova Svetlana,Geman Helyette

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Finance

Reference23 articles.

1. Amin, K., Ng, V., & Pirrong, S. C. (1994). Valuing energy derivatives. In Managing energy price risk, Risk Publications.

2. Black F. (1976). The pricing of commodity contracts. Journal of Financial Economics 3(1/2): 167–179

3. Borovkova, S. (2004). The forward curve dynamic and market transition forecasts. In D.W. Bunn (Ed.), Modelling prices in competitive electricity markets. John Wiley & Sons, Ltd. p. 24.

4. Brennan M.J., Schwartz E.S. (1985). Evaluating natural resource investments. Journal of Business 58(2): 135–157

5. Carmona, R., & Ludkovski, M. (2004). Spot convenience yield models for energy markets. In AMS mathematics of finance, G. Yin & Y. Zhang (Eds.), Vol. 351 of Contemporary Mathematics, pp. 65–80.

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