Modelling commodity prices
Mentor: Dr Nino Kordzakhia, Macquarie University
Intern: Karol Binkowski
Industry Partner: Dr Pavel V. Shevchenko, CSIRO
Project Duration: January to April 2009
This project aims to develop a stochastic volatility model to explain the non-Gaussian behaviour in commodity prices and implied volatility skew in option prices. The model will extend a two-factor framework published in Management Science by Schwartz and Smith in 2000.