An empirical approach to analysing the forward curve dynamics of energy futures is presented. For non-seasonal commodities—such as crude oil—the forward curve is well described by the first three principal components: the level, slope and curvature. A principal component indicator is...

We consider a novel approach to modelling of commodity prices and apply it to commodity option pricing and volatility estimation. This approach is particularly suited for prices with multiple attraction regions, such as crude oil and other energy and agricultural commodities. The price is...