Commodity derivatives are becoming an increasingly important part of the global derivatives
market. Here we develop a tractable stochastic volatility model for pricing commodity …

We infer a term structure of interbank risk from spreads between rates on interest rate swaps
indexed to the London Interbank Offered Rate (LIBOR) and overnight indexed swaps. We …

We develop a tractable and flexible stochastic volatility multifactor model of the term structure
of interest rates. It features unspanned stochastic volatility factors, correlation between …

We introduce the class of linear‐rational term structure models in which the state price
density is modeled such that bond prices become linear‐rational functions of the factors. This …

… Trolle acknowledges support from the Investissements d'Avenir Labex (ANR-11-IDEX-0003/Labex
Ecodec/ANR-11-LABX-0047) and the Danish Finance Institute. The authors do not …

… Whenever an index roll date, troll, falls between dates t and t′, the realized excess return
is … t and troll and then adding to it the realized excess return on series Si + 1 over troll to t′. …

We infer conditional swap rate moments model independently from swaption cubes. Conditional
volatility and skewness exhibit systematic variation across swap maturities and option …

… Trolle gratefully acknowledges support from the Center for Big Data in Finance (Grant no.
DNRF167) and the Danish Finance Institute. The authors do not have any conflicts of interest …

… The dynamics of the crude-oil spot price, futures prices and volatility that we use for the
analysis is described by a model proposed in Trolle and Schwartz (2007). This model has …

We empirically investigate the importance of parameter uncertainty to bond investors. Using
a Bayesian approach, we quantify the expected utility loss due to parameter uncertainty from …