Sara Ana Solanilla Blanco: Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Sara Ana Solanilla Blanco (Universitetet i Oslo) holder et seminar med tittelen: Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes

Abstract: We show that the forward price can be represented as a
functional of the spot price path in the case of Lévy semistationary
models for the spot dynamics. The functional is a weighted average
of the historical spot price in general, and is derived by means of
the Laplace transform. We will end by presenting the steps to follow
to do an empirical analysis on temperatures.

Published June 12, 2015 1:22 PM - Last modified June 12, 2015 1:22 PM