Browsing Working Papers by Author "Sclavounos, Paul D."
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Multi-Factor Model of Correlated Commodity - Forward Curves for Crude Oil and Shipping Markets
Ellefsen, Per Einar; Sclavounos, Paul D. (MIT Center for Energy and Environmental Policy Research, 2009)An arbitrage free multi-factor model is developed of the correlated forward curves of the crude oil, gasoline, heating oil and tanker shipping markets. Futures contracts trading on public exchanges are used as the primary ...