Interpolating commodity futures prices with Kriging
Pricing of Securities
2022-03-30 v2
Abstract
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery periods. In this note, we investigate a Bayesian technique known as Kriging to build a term structure of futures prices by embedding trends and seasonalities and by taking into account bid-ask spreads of market quotations on different delivery periods.
Keywords
Cite
@article{arxiv.2110.13021,
title = {Interpolating commodity futures prices with Kriging},
author = {Andrea Maran and Andrea Pallavicini},
journal= {arXiv preprint arXiv:2110.13021},
year = {2022}
}