
arXiv: 2110.13021
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.
FOS: Economics and business, 62F15, 91G20, 91G70, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities
FOS: Economics and business, 62F15, 91G20, 91G70, Pricing of Securities (q-fin.PR), Quantitative Finance - Pricing of Securities
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