Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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COMMODITY FUTURES TERM STRUCTURE MODEL

  • Choi, Hyeong In (Department of Mathematics & Research Institute of Mathematics Seoul National University) ;
  • Kwon, Song-Hwa (Department of Mathematics The Catholic University of Korea) ;
  • Kim, Jun Yeol (OTC Products Dealing Team KYOBO Securities Co., Ltd.) ;
  • Jung, Du-Seop (Department of Mathematics Seoul National University)
  • Received : 2013.11.18
  • Published : 2014.11.30
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Abstract

A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.

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References

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