COMMODITY futures term structure model

Hyeong In Choi; Song Hwa Kwon; Jun Yeol Kim; Du Seop Jung

doi:10.4134/BKMS.2014.51.6.1791

COMMODITY futures term structure model

Hyeong In Choi, Song Hwa Kwon, Jun Yeol Kim, Du Seop Jung

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.

Original language	English
Pages (from-to)	1791-1804
Number of pages	14
Journal	Bulletin of the Korean Mathematical Society
Volume	51
Issue number	6
DOIs	https://doi.org/10.4134/BKMS.2014.51.6.1791
State	Published - 2014

Bibliographical note

Publisher Copyright:
© 2014 Korean Mathematical Society.

Keywords

Commodity futures
Convenience yield
European option
HJM
Term structure
Volatility

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10.4134/BKMS.2014.51.6.1791

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abstract = "A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.",

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author = "Choi, {Hyeong In} and Kwon, {Song Hwa} and Kim, {Jun Yeol} and Jung, {Du Seop}",

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AU - Kim, Jun Yeol

AU - Jung, Du Seop

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N2 - A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.

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KW - Commodity futures

KW - Convenience yield

KW - European option

KW - HJM

KW - Term structure

KW - Volatility

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COMMODITY futures term structure model

Abstract

Bibliographical note

Keywords

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