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Paper detail

Interpolating commodity futures prices with Kriging

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.

preprint2022arXivOpen access
Andrea MaranAndrea Pallavicini
q-fin.PR
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Andrea MaranAndrea Pallavicini

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