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by deskquant
January 22nd, 2011, 3:53 pm
Forum: Trading Forum
Topic: crude oil term structure using B splines.
Replies: 8
Views: 23560

crude oil term structure using B splines.

thanks a lot edouard can i actually pm you with some specific questions...
by deskquant
January 22nd, 2011, 1:14 pm
Forum: Trading Forum
Topic: crude oil term structure using B splines.
Replies: 8
Views: 23560

crude oil term structure using B splines.

ok how about some relevant papers on the term structure...and the kind of things people use them for?
by deskquant
January 22nd, 2011, 1:12 pm
Forum: Trading Forum
Topic: crude oil term structure using B splines.
Replies: 8
Views: 23560

crude oil term structure using B splines.

ok thanks edouard, anything in the public domain, atleast i could not get my hands onto it, so I'd be grateful if you could point some to me.
by deskquant
January 21st, 2011, 9:05 pm
Forum: Trading Forum
Topic: crude oil term structure using B splines.
Replies: 8
Views: 23560

crude oil term structure using B splines.

yes that and more like pricing far out contracts that may be illiquid
by deskquant
January 21st, 2011, 12:24 pm
Forum: Technical Forum
Topic: log likelihood estimation in Kalman filtering.
Replies: 0
Views: 20820

log likelihood estimation in Kalman filtering.

Hi All,I am stuck with the log likelihood estimation of the a non linear likelihood function that arises in the Kalman problem of the schwartz smith two factor commodity model. any ideas on how to sufficiently solve the problem.
by deskquant
January 21st, 2011, 2:43 am
Forum: Trading Forum
Topic: crude oil term structure using B splines.
Replies: 8
Views: 23560

crude oil term structure using B splines.

Any thoughts or papers any one wants to share, I am all ears
by deskquant
December 29th, 2010, 1:59 am
Forum: Book And Research Paper Forum
Topic: nice PhD thesis
Replies: 12
Views: 38936

nice PhD thesis

Could not find the Dodging the bullet one, please repost thanks.
by deskquant
December 28th, 2010, 5:46 pm
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

thanks tw, would you be able to elaborate more on what they do, any mathematical details you could share?
by deskquant
December 26th, 2010, 2:31 pm
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

ok thanks, I am sure there are players out there who successfully make money trading the back months which are as we discussed fairly illiquid, they are maybe using some kind of a factor model to do that, so wasn't sure what the class of these strategies are, and what kind of models work.
by deskquant
December 16th, 2010, 10:21 pm
Forum: Technical Forum
Topic: PCA predictive power.
Replies: 0
Views: 22051

PCA predictive power.

<t>There seems to be a lot of work done on PCA modeling of crude oil futures. Any ideas on how robust the method is , I have used it in the past but did not get much luck with it.I think its an ok contemporaneous method but one that has less predictive power, I am interested in forecasting the dynam...
by deskquant
December 16th, 2010, 9:40 pm
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

No body, i am sure there are experts out there
by deskquant
December 15th, 2010, 11:31 pm
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

also this seemed interestingwww.utstat.utoronto.ca/sjaimung/papers/VAR-FPCA.pdf
by deskquant
December 15th, 2010, 10:57 pm
Forum: Trading Forum
Topic: crude oil term structure modeling.
Replies: 9
Views: 29506

crude oil term structure modeling.

<t>thanks a lot bramJ, the goal I would say is definitely to forecast, especially the far out contracts that are illiquid, the goal is to understand what drives their price process.why do you think pca may be better than a structural model approach like that of gibson, is there a way to combine the ...
by deskquant
December 8th, 2010, 6:54 pm
Forum: Technical Forum
Topic: Variance of Schwartz 1 factor model
Replies: 14
Views: 37798

Variance of Schwartz 1 factor model

sure sure, i would not mind discussing this a little bit, if you guys thought it improved the valuations a lot, over the time invariant case.
by deskquant
December 8th, 2010, 1:01 am
Forum: Technical Forum
Topic: Variance of Schwartz 1 factor model
Replies: 14
Views: 37798

Variance of Schwartz 1 factor model

curious if anyone had thought on this one here orfe.princeton.edu/~rcarmona/download/fe/convenienceyield.pdf
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