<section xml:id="fut21657-sec-0001"> This study investigates the dependence structure between correlated petroleum forward curves. After decomposing the term structure into level, slope, and curvature shocks we develop a flexible multi‐regime error‐correction factor model of the dynamics of the joint evolution of commodity...</section>

In this paper we employ regime volatility models to describe time dependency in petroleum markets. Using a sample of NYMEX and ICE futures contracts, we establish the existence of a regime process and link this process to market fundamentals. This formulation results in two distinct states: a...

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are...

We develop a coherent framework for the valuation of real assets and determination of the optimal time to invest. To this end, we model the stochastic nature of income and develop methodologies for valuing traded derivatives to facilitate model calibration. A valuation paradigm for...