This paper presents a collections of results and formulae for pricing commodity futures, futures options and forward contracts. These results extend previous work by Schwartz (1997). Unlike in Hilliard and Reis (1998) the model in this paper predicts that jumps in the spot price affect futures...

After the 2007-2009 financial crisis Government bond yields in US, Germany, UK and elsewhere have approached Japan-type Government bond yields, thus challenging known dynamic term structure models that cannot constrain yields to be always positive. Therefore this paper tests term structure...