, OECD and U.S. oil and petroleum inventories and consumption, and historical and implied volatility. When we model the …, increases in volatility make positive spreads more steeply positive but are not related to negative spreads, consistent with …

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned … stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing … futures and provide empirical evidence of the roughness in oil volatility. Introducing just one additional parameter, the …