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Parameterized Calendar Correlations: Decoding Oil and Beyond

Roza Galeeva and Thomas Haversang
The Journal of Derivatives Spring 2020, 27 (3) 7-25; DOI: https://doi.org/10.3905/jod.2019.1.093
Roza Galeeva
is a research professor at the NYU Tandon School of Engineering in Brooklyn NY
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Thomas Haversang
is a graduate of the NYU Tandon School of Engineering in Brooklyn NY
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The Journal of Derivatives: 27 (3)
The Journal of Derivatives
Vol. 27, Issue 3
Spring 2020
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Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva, Thomas Haversang
The Journal of Derivatives Feb 2020, 27 (3) 7-25; DOI: 10.3905/jod.2019.1.093

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Parameterized Calendar Correlations: Decoding Oil and Beyond
Roza Galeeva, Thomas Haversang
The Journal of Derivatives Feb 2020, 27 (3) 7-25; DOI: 10.3905/jod.2019.1.093
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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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