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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

crude oil term structure using B splines.

January 21st, 2011, 2:43 am

Any thoughts or papers any one wants to share, I am all ears
 
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Caesaria
Posts: 190
Joined: November 25th, 2010, 2:54 pm

crude oil term structure using B splines.

January 21st, 2011, 6:49 pm

what do you want to use it for? pricing crude futures options?
 
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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

crude oil term structure using B splines.

January 21st, 2011, 9:05 pm

yes that and more like pricing far out contracts that may be illiquid
 
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tagoma
Posts: 18385
Joined: February 21st, 2010, 12:58 pm

crude oil term structure using B splines.

January 22nd, 2011, 11:50 am

papers on oil price structure. yes. and, papers on b splines. yes. but, both together, not really.btw pr h.geman points out in her books, utilities and trading desks spend fortunes to deal to build proper oil forward/futures prices using those extrapolation techniques. thus that particular area/subject/issue must deserve.
Last edited by tagoma on January 21st, 2011, 11:00 pm, edited 1 time in total.
 
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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

crude oil term structure using B splines.

January 22nd, 2011, 1:12 pm

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.
 
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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

crude oil term structure using B splines.

January 22nd, 2011, 1:14 pm

ok how about some relevant papers on the term structure...and the kind of things people use them for?
 
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tagoma
Posts: 18385
Joined: February 21st, 2010, 12:58 pm

crude oil term structure using B splines.

January 22nd, 2011, 1:45 pm

QuoteOriginally posted by: deskquantok how about some relevant papers on the term structure...quite old, but good :The Term Structures of Oil Futures Prices, Jacques Gabilloninteresting :The third oil price surge ? What?s different this time? , Fabian Kesickimore generally :Commodities and Commodity Derivatives, H. Geman (handbook)QuoteOriginally posted by: deskquantand the kind of things people use them for?price forecasting !....
 
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deskquant
Topic Author
Posts: 48
Joined: October 24th, 2010, 2:54 am

crude oil term structure using B splines.

January 22nd, 2011, 3:53 pm

thanks a lot edouard can i actually pm you with some specific questions...
 
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tagoma
Posts: 18385
Joined: February 21st, 2010, 12:58 pm

crude oil term structure using B splines.

January 22nd, 2011, 4:47 pm

QuoteOriginally posted by: deskquantthanks a lot edouard can i actually pm you with some specific questions...yep !but don't expect too much from me as i'm not an oil guy. i'm an agricultural.
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