Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?

Tore S. Kleppe; Atle Oglend

doi:10.1002/fut.22006

Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?

Journal of Futures Markets ◽

10.1002/fut.22006 ◽

2019 ◽

Vol 39 (7) ◽

pp. 865-889

Author(s):

Tore S. Kleppe ◽

Atle Oglend

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Limits To Arbitrage ◽

Term Structure Modeling

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Introduction to Term Structure Modeling

Financial Engineering and Computation ◽

10.1017/cbo9780511546839.024 ◽

2001 ◽

pp. 328-344

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling

Informatics in Control, Automation and Robotics - Lecture Notes in Electrical Engineering ◽

10.1007/978-3-319-10891-9_19 ◽

2014 ◽

pp. 329-348

Author(s):

ShinIchi Aihara ◽

Arunabha Bagchi ◽

Saikat Saha

Keyword(s):

Stochastic Volatility ◽

Term Structure ◽

Structure Modeling ◽

Exact Sampling ◽

Term Structure Modeling

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Krippner Framework for ZLB Term Structure Modeling

Zero Lower Bound Term Structure Modeling ◽

10.1057/9781137401823.0011 ◽

2015 ◽

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Zero Lower Bound Term Structure Modeling

10.1057/9781137401823 ◽

2015 ◽

Cited By ~ 48

Author(s):

Leo Krippner

Keyword(s):

Lower Bound ◽

Term Structure ◽

Structure Modeling ◽

Zero Lower Bound ◽

Term Structure Modeling

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Term Structure Modeling for Pension Liability Discounting

Financial Analysts Journal ◽

10.2469/faj.v44.n6.63 ◽

1988 ◽

Vol 44 (6) ◽

pp. 63-67

Author(s):

W. Brian Barrett

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Term Structure Modeling with Supply Factors and the Federal Reserve's Large-Scale Asset Purchase Programs

Finance and Economics Discussion Series ◽

10.17016/feds.2014.007 ◽

2014 ◽

Vol 2014 (007) ◽

pp. 1-33 ◽

Cited By ~ 4

Author(s):

Canlin Li ◽

◽

Min Wei

Keyword(s):

Term Structure ◽

Large Scale ◽

Structure Modeling ◽

Term Structure Modeling

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Affine Term Structure Modeling and Macroeconomic Risks at the Zero Lower Bound

SSRN Electronic Journal ◽

10.2139/ssrn.2698961 ◽

2016 ◽

Cited By ~ 2

Author(s):

Guillaume Roussellet

Keyword(s):

Lower Bound ◽

Term Structure ◽

Structure Modeling ◽

Zero Lower Bound ◽

Affine Term Structure ◽

Term Structure Modeling ◽

Macroeconomic Risks

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Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling

SSRN Electronic Journal ◽

10.2139/ssrn.2884699 ◽

2016 ◽

Cited By ~ 1

Author(s):

Christian P. Fries

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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Term Structure Modeling in Continuous Time

Lecture Notes in Economics and Mathematical Systems - Bond Portfolio Optimization ◽

10.1007/978-3-540-76593-6_3 ◽

2008 ◽

pp. 13-40

Keyword(s):

Term Structure ◽

Continuous Time ◽

Structure Modeling ◽

Term Structure Modeling

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Black Framework for ZLB Term Structure Modeling

Zero Lower Bound Term Structure Modeling ◽

10.1057/9781137401823.0012 ◽

2015 ◽

Cited By ~ 1

Keyword(s):

Term Structure ◽

Structure Modeling ◽

Term Structure Modeling

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