1 Multi-factor Model of Correlated Commodity Forward Curves for Crude Oil and Shipping Markets

@inproceedings{Sclavounos20091MM,
  title={1 Multi-factor Model of Correlated Commodity Forward Curves for Crude Oil and Shipping Markets},
  author={Paul D. Sclavounos and Per Einar Ellefsen},
  year={2009}
}
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-Jarrow-Morton (HJM) model for the dynamic evolution of the… CONTINUE READING