Jaeck, Edouard; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2014
, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson … Hypothesis" (Samuelson, 1965), i.e. by the presence of a decreasing pattern of volatilities along the prices curve. A deeper … knowledge of the Samuelson hypothesis is required for industrial and financial agents as well as for regulatory authorities …