A model of time-varying volatilities in futures contracts
Despite the utility of forward price models in the risk management framework, models of spot prices are used more prevalently. Ted Kury presents a tractable model with time-varying volatility, that allows for temporal changes
Forward price models can be a critical component of the risk management framework. Despite the use of forward price models, spot price patterns are more prevalent in the energy industry. Yet, for most questions involving changes in portfolio value, only a model of forward prices will suffice.
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