Cutting edge: Kriging smooth energy futures curves

Fred Espen Benth
27 Jan 2015

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A range of different approaches exists to extract a continuous curve of futures prices from market-observed prices. At Nymex, accessible futures prices for delivery of WTI crude oil are available every month over a time horizon up to several years. The Nelson-Siegel curve (see Nelson & Siegel (1987)) adopted from fixed-income markets is a way to derive a continuous curve of oil futures prices from such market data. It is a four-parameter family of curves, allowing for a long-term constant level

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