In this paper we study the modeling and computational bene fits of using Lévy processes and the Fast Fourier Transform (FFT) in the valuation of gas storage assets and, from a practitioners perspective, in creating market consistent valuations and hedging portfolios. The valuation methodology...

We formally compare fundamental factor and latent factor approaches to oil price modelling. Fundamental modelling has a long history in seeking to understand oil price movements, while latent factor modelling has a more recent and limited history, but has gained popularity in other financial...

Extending previous risk model backtesting literature, we construct multiple hypothesis testing (MHT) with the stationary bootstrap. We conduct multiple tests which control for the generalized confidence level and employ the bootstrap MHT to design multiple comparison testing. We consider...

We create individual cultural values measures for households and show that this is an important determinant of their financial behavior. To date, personal cultural values have only been indirectly measured through religion and trust. But these are, at best, an approximation of true cultural...

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...

WTI and Brent futures are tested for the presence of psychological barriers around $10 price levels applying a multiple hypothesis testing approach for robustness. Psychological barriers are present in Brent pricing but not in WTI pricing, which is argued, based on recent behavioural finance...

Sentiment is shown to influence both West Texas Intermediate (WTI) and Brent futures prices during the period 2002-2013. This is demonstrated while controlling for stock indices, exchange rates, financial costs, inventory and supply levels as well as OPEC activity. Sentiment indices are...