, OECD and U.S. oil and petroleum inventories and consumption, and historical and implied volatility. When we model the … predicted by the theory of storage. However results show that excess inventory is not adequately modelled as deviations from a …, 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 …