To assess the economic determinants of oil futures volatility, we firstly develop and estimate
a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle …

This paper analyses the attributes and the significance of the roughness of oil market
volatility. We employ unspanned stochastic volatility models driven by rough Brownian …

Seasonality is an important topic in electricity markets, as both supply and demand are
dependent on the time of the year. Clearly, the level of prices shows a seasonal behaviour …

We present a new term-structure model for commodity futures prices based on Trolle and
Schwartz, which we extend by incorporating seasonal stochastic volatility represented with …

This paper deals with the issue of modelling the volatility of futures prices in agricultural
markets. We develop a multi-factor model in which the stochastic volatility dynamics …

In this paper, we propose a multidimensional statistical model of intraday electricity prices at
the scale of the trading session, which allows all products to be simulated simultaneously …

In this paper we introduce an additive two-factor model for electricity futures prices based on
Normal Inverse Gaussian Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) …

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes
from the superposition of a CIR term and a 3/2-model component. Our model goes …

We develop a jump-diffusion model for pricing and hedging with margined options on
futures. Unlike a standard equity option, margined options require no up-front payment. An …

A comparative study between the US and Chinese futures markets focusing on the
Samuelson hypothesis of the maturity effect was conducted. We examine 15 matched pairs …