The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield


This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and... [ view full abstract ]


  1. Katsushi Nakajima (Ritsumeikan Asia Pacific University)

Topic Areas

Commodities , Futures , Optimal Control


WE-A-SY » Information and Commodities (11:30 - Wednesday, 18th July, Synge)

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