BTW, try the newest edition of Pilipovic (ie, 2007)...

Thanks Rodriguez!Not pricing yet, want to come up with a VAR like stop loss on three to five month calendar spreads. I do want to price options on this spread down the road. Thanks, I'll take a look at Eydeland and Wolybiec and make sure to grab the new Pilipovic. I want to adapt my CQF final project (HJM w/PCA driven 3-factor Monte Carlo) to simulate the behavior of different contracts relative to one another and include jumps. Though, I'm still trying to figure out how to deal with the month to month steps I've got to deal with in reality.Thanks for the input.davidngetting my data from: http://www.eia.doe.gov/

davidn,You will like then Eydeland and Wolybiec's book. Although HJM with PCAs (for dimensionality reduction) is briefly discussed, the book does provide several references. ICA, instead of PCA, could help in case you have problems replicating the tails (kurtosis) of the distribution.

Thanks again, books are on the way, that makes 4 in the mail! Hope Taleb's right about power in the unread books in a library.I'll give the PCA/ICA bit some thinking. Off the top of my head, it seems I want to use ICA if I was to represent each contract with an independent motion. I desire to fit a curve through the various contracts, spot through say a few years out, and then simulate the change in the curve, then back out what happens to a spread between various expirations.