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q-fin.ST2021
On Modelling of Crude Oil Futures in a Bivariate State-Space Framework
Peilun He, Karol Binkowski, Nino Kordzakhia +1
We study a bivariate latent factor model for the pricing of commodity fu- tures. The two unobservable state variables representing the short and long term fac- tors are modelled as…
q-fin.ST2021
On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model
Karol Binkowski, Peilun He, Nino Kordzakhia +1
The two unobservable state variables representing the short and long term factors introduced by Schwartz and Smith in [16] for risk-neutral pricing of futures contracts are modelle…