This paper builds upon the work of Kiely et al. [2015] to provide a storage valuation methodology which is capable of utilizing both market and historical information. We begin by extending the Mean Reverting Variance Gamma process to an arbitrary number of dimensions and by way of specific...

Quantitative trading in oil based markets are investigated over 2003-2010, with focus on WTI, Brent, heating oil and gas oil. A total of 861 spreads are considered. A novel optimal statistical arbitrage trading model is applied, with generalised stepwise procedures controlling for data snooping...