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Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01zw12z765n
Title: An Examination of Stochastic Models for Crude Oil
Authors: Efthimion, Christina
Advisors: Fan, Jianqing
Department: Operations Research and Financial Engineering
Class Year: 2015
Abstract: This thesis is going to compare different commodity spot price models, which have one, two or three stochastic factors. Specifically, it is going to compare how the different models are able to accurately model WTI Crude Oil spot prices. In order to do this, we will look at what makes each model different and then use Maximum Likelihood Estimation (MLE) and Kalman Filtering to estimate the parameters for each model. This will give us the tools to be able to compare the models based on the accuracy of their spot price predictions and parameter estimation. The analysis will show us how having more factors allows us to more accurately estimate spot prices and volatility.
Extent: 88 pages
URI: http://arks.princeton.edu/ark:/88435/dsp01zw12z765n
Access Restrictions: Walk-in Access. This thesis can only be viewed on computer terminals at the Mudd Manuscript Library.
Type of Material: Princeton University Senior Theses
Language: en_US
Appears in Collections:Operations Research and Financial Engineering, 2000-2016

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