Yanping Chong, Weixian Kong, Matthew Tochterman, Junyue Xu, Hangying Yu
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The industry standard model for commodity price dynamics implies constant correlation between returns of futures with different tenors. We extend the model by allowing its parameters to vary over time. This practice enables us to capture the seasonality effect embedded in the evolution of a commodity futures curve in addition to the seasonal patterns observed in the futures curve term structure. We use a storage valuation problem as an example to illustrate how to apply our model in practice.
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