Manoliu, Mihaela; Tompaidis, Stathis - In: Applied Mathematical Finance 9 (2002) 1, pp. 21-43
We present a class of multi-factor stochastic models for energy futures prices, similar to the interest rate futures models recently formulated by Heath. We do not postulate directly the risk-neutral processes followed by futures prices, but define energy futures prices in terms of a spot price,...
