A flexible model of term-structure dynamics of commodity prices: A comparative analysis with a two-factor Gaussian model

Suenaga, Hiroaki

Access Status

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Authors

Suenaga, Hiroaki

Date

2015

Type

Book Chapter

Metadata

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Citation

Suenaga, H. 2015. A flexible model of term-structure dynamics of commodity prices: A comparative analysis with a two-factor Gaussian model. In Commodities, 243-278. Boca Raton, Florida.

Source Title

Commodities

Additional URLs

http://www.crcpress.com/

ISBN

1498712320

School

Department of Finance and Banking

URI

http://hdl.handle.net/20.500.11937/25617

Collection

Curtin Research Publications

Abstract

This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodity prices and the real economy and other financial markets.