Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation
Fred Espen Benth, Steen Koekebakker, and Fridthjof Ollmar
| Year of publication: |
2007
|
|---|---|
| Authors: | Benth, Fred Espen ; Koekebakker, Steen ; Ollmar, Fridthjof |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 15.2007, 1, p. 52-66
|
| Subject: | Rohstoffderivat | Commodity derivative | Elektrizität | Electricity | Saisonale Schwankungen | Seasonal variations | Volatilität | Volatility | Zinsstruktur | Yield curve | USA | United States | 2005-2007 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003611427