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An Examination of Stochastic Models for Crude Oil
Author/Artist
Efthimion, Christina
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Format
Senior thesis
Language
English
Description
88 pages
Availability
Available Online
Citation only:
DataSpace
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Mudd Manuscript Library - Stacks
AC102
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Details
Advisor(s)
Fan, Jianqing
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Department
Princeton University. Department of Operations Research and Financial Engineering
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Class year
2015
Restrictions note
Walk-in Access. This thesis can only be viewed on computer terminals at the
Mudd Manuscript Library
.
Summary note
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.
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Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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