Our first aim in this paper is to introduce a futures-based model able of capturing the main features displayed by Crude Oil futures and options contracts, such as the Samuelson volatility effect and the volatility smile. We calculate the joint characteristic function of two futures contracts in...

This paper deals with the problem of modelling the volatility of futures prices in agricultural markets. We develop a multi-factor model in which the stochastic volatility dynamics incorporate a seasonal component. In addition, a maturity dependent damping term accounts for the Samuelson effect....

In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a regime-switching price of variance-risk. While preserving tractability, this model allows us to capture the episodes of negative and positive variance risk premium. A two-state...