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- Published online February 28, 2020.
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© 2020 Pageant Media Ltd
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- Roza Galeeva
- Thomas Haversang
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Parameterized Calendar Correlations: Decoding Oil and Beyond
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- Article
- Abstract
- STRUCTURE OF THE ARTICLE
- CORRELATION PRODUCTS FOR ENERGY DERIVATIVES
- THREE MODELS OF CORRELATION DECAY
- FITTING HISTORICAL CORRELATION MATRIXES
- CORRELATION PARAMETERS AND SWAPTION PRICING
- MAPPING CORRELATIONS TO DIFFERENT TIME INTERVALS
- SWAPTION GREEKS
- APPLICATIONS TO NATURAL GAS CORRELATIONS
- BEYOND COMMODITIES: ED FUTURES
- SUMMARY
- ACKNOWLEDGMENTS
- ADDITIONAL READING
- REFERENCES
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