Arbitrage Models of Commodity Prices

9 Pages Posted: 29 Sep 2008 Last revised: 12 Nov 2015

Date Written: September 25, 2008

Abstract

We review major frameworks for modelling commodity prices.

Keywords: commodity models, forward price, forward curve, energy, affine models, estimation

Suggested Citation

Roncoroni, Andrea, Arbitrage Models of Commodity Prices (September 25, 2008). Available at SSRN: https://ssrn.com/abstract=1274050 or http://dx.doi.org/10.2139/ssrn.1274050

Andrea Roncoroni (Contact Author)

ESSEC Business School ( email )

Avenue Bernard Hirsch BP 50105
Cergy-Pontoise, 95021
France
+33 (0)1 34 43 32 39 (Phone)
+33 (0)1 34 43 30 01 (Fax)

HOME PAGE: http://www45.essec.edu/faculty/andrea-roncoroni

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