activity
20092021
most citedEuclidean Affine Functions and Applications to Calendar Algorithms

3 citations · 3 across the 6 of their papers we have counts for

collaborators
Showing 2014 · q-fin.PRShow all

1 paper · 2 filters

q-fin.PR2014

From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options

Lorenz Schneider, Bertrand Tavin

We introduce a multi-factor stochastic volatility model based on the CIR/Heston stochastic volatility process. In order to capture the Samuelson effect displayed by commodity futur…