{"title":"商品衍生品的一般远期曲线动力学","authors":"David Xiao","doi":"arxiv-2306.12921","DOIUrl":null,"url":null,"abstract":"This article presents a generic framework for modeling the dynamics of\nforward curves in commodity market as commodity derivatives are typically\ntraded by futures or forwards. We have theoretically demonstrated that\ncommodity prices are driven by multiple components. As such, the model can\nbetter capture the forward price and volatility dynamics. Empirical study shows\nthat the model prices are very close to the market prices, indicating prima\nfacie that the model performs quite well.","PeriodicalId":501355,"journal":{"name":"arXiv - QuantFin - Pricing of Securities","volume":"273 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Generic Forward Curve Dynamics for Commodity Derivatives\",\"authors\":\"David Xiao\",\"doi\":\"arxiv-2306.12921\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article presents a generic framework for modeling the dynamics of\\nforward curves in commodity market as commodity derivatives are typically\\ntraded by futures or forwards. We have theoretically demonstrated that\\ncommodity prices are driven by multiple components. As such, the model can\\nbetter capture the forward price and volatility dynamics. Empirical study shows\\nthat the model prices are very close to the market prices, indicating prima\\nfacie that the model performs quite well.\",\"PeriodicalId\":501355,\"journal\":{\"name\":\"arXiv - QuantFin - Pricing of Securities\",\"volume\":\"273 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-06-22\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Pricing of Securities\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2306.12921\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Pricing of Securities","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2306.12921","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Generic Forward Curve Dynamics for Commodity Derivatives
This article presents a generic framework for modeling the dynamics of
forward curves in commodity market as commodity derivatives are typically
traded by futures or forwards. We have theoretically demonstrated that
commodity prices are driven by multiple components. As such, the model can
better capture the forward price and volatility dynamics. Empirical study shows
that the model prices are very close to the market prices, indicating prima
facie that the model performs quite well.