Modelling commodities

Modelling Commodity Futures Prices

Team: Prof Pavel Shevchenko, Prof Gareth Peters,  Dr Matthew Ames, Dr Guillaume Bagnarosa, Prof Tomoko Matsui, Dr Nino Kordzakhia, Dr Karol Binkowski

Relevant publications:

• Ames, Matthew and Bagnarosa, Guillaume and Peters, Gareth William and Shevchenko, Pavel V. and Matsui, Tomoko (2016). Which Risk Factors Drive Oil Futures Price Curves? Speculation and Hedging in the Short and Long-Term. Preprint, available at SSRN: https://ssrn.com/abstract=2840730.
• G. W. Peters, M. Brier, P. Shevchenko and A. Doucet (2013). Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. Methodology and Computing in Applied Probability15(4), 841-874. Preprint, http://arxiv.org/abs/1105.5850.
• Karol Binkowski, P.V. Shevchenko and Nino Kordzakhia (2009). Modelling commodity prices. CSIRO technical report CMIS 09/43.