By employing a continuous time stochastic volatility model, the dynamic relation between price returns and volatility changes in the commodity futures markets is analysed. An extensive daily database of gold and crude oil futures and futures options is used to estimate the model that is well...

This paper analyzes the volatility structure of the commodity derivatives markets. The model encompasses stochastic volatility that may be unspanned by the futures contracts. A generalized hump-shaped volatility specification is assumed that entails a finite-dimensional affine model for the...

Part I The Fundamentals of Derivative Security Pricing -- 1 The Stock Option Problem -- 2 Stochastic Processes for Asset Price Modelling -- 3 An Initial Attempt at Pricing an Option -- 4 The Stochastic Differential Equation -- 5 Manipulating Stochastic Differential Equations and Stochastic...