Cutting edge: Kriging smooth energy futures curves

Applying kriging to extract smooth curves from energy futures prices

Cutting edge - Kriging smooth energy futures curves
The Nelson-Siegel curve and how to calibrate its parameters to a set of futures prices is recalled

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 availabl