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- W3177687130 abstract "In this paper, we propose a new framework for modeling commodity forward curves. The proposed model describes the dynamics of fundamental driving factors simultaneously under physical ( P ) and risk-neutral ( Q ) probability measures. Our model is an extension of the forward curve model by Borovkova and Geman (2007), into several directions. It is a three-factor model, incorporating the synthetic spot price, based on liquidly traded futures, stochastic level of mean reversion and an analog of the stochastic convenience yield. We develop an innovative calibration mechanism based on the Kalman filtering technique and apply it to a large set of Brent oil futures. Additionally, we investigate properties of the time-dependent market price of risk in oil markets. We apply the proposed modeling framework to derivatives pricing, risk management and counterparty credit risk. Finally, we outline a way of adjusting the proposed model to account for negative oil futures prices observed recently due to coronavirus pandemic. • A versatile 3-factor model for energy futures is introduced and developed. • The model is calibrated on a dataset of crude oil and natural gas forward curves. • The model describes the dynamics of variables under real world and pricing measures. • This allows model applications ranging from risk management to derivatives pricing. • The Market Price of Risk is extracted from daily forward curves." @default.
- W3177687130 created "2021-07-19" @default.
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- W3177687130 date "2021-09-01" @default.
- W3177687130 modified "2023-09-25" @default.
- W3177687130 title "Three-factor commodity forward curve model and its joint P and Q dynamics" @default.
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- W3177687130 doi "https://doi.org/10.1016/j.eneco.2021.105418" @default.
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