Serving the Quantitative Finance Community

User avatar
Topic Author
Posts: 12
Joined: January 9th, 2009, 4:36 am

How to construct crude oil forward curve?

November 21st, 2010, 12:26 pm

Hi, how do you construct a crude oil forward curve? What are the general steps in a typical construction methodology?Thanks!
User avatar
Posts: 18849
Joined: February 21st, 2010, 12:58 pm

How to construct crude oil forward curve?

December 5th, 2010, 7:41 pm

please, have a look there : .on the right, you will find various "recent posts" on forward/futures prices.the author of this blog (william smith) is doing research on oil price curves for his Phd.and, you might be interested in the writings of Pr Helyette Geman (just google her name). She actually is a big brain and THE worldwide reference in commodities modelling IMO. Nassim Taleb studied under her direction !