, The Supply of Storage, American Economic Review, vol.47, pp.50-72, 1958.
DOI : 10.1007/978-1-349-02693-7_5
, The Price of Convenience and the Valuation of Commodity Contingent Claims, Stochastic Models and Options Values, pp.33-71, 1991.
, Hedging Long Maturity Commodity Commitments with Short-Dated Futures Contracts, Mathematics of derivatives securities, pp.165-190, 1997.
, An empirical analysis of the relationship between the hedge ratio and hedging horizon: A simultaneous estimation of the short- and long-run hedge ratios, Journal of Futures Markets, vol.83, issue.4, 2004.
DOI : 10.1002/fut.10121
, Implementing a Real Option Model for Valuing an Undeveloped Oil Field, International Transactions in Operational Research, vol.78, issue.5, pp.125-137, 1997.
DOI : 10.1016/0304-405X(93)90040-I
, Implementing a stochastic model for oil futures prices, Energy Economics, vol.25, issue.3, pp.215-238, 2003.
DOI : 10.1016/S0140-9883(02)00096-8
, Hedging a Flow of Commodity Deliveries with Futures: Lessons from Metallgesellschaft, Derivatives Quarterly, vol.1, pp.7-15, 1994.
, METALLGESELLSCHAFT AND THE ECONOMICS OF SYNTHETIC STORAGE, Journal of Applied Corporate Finance, vol.65, issue.4, pp.62-76, 1995.
DOI : 10.1111/j.1745-6622.1995.tb00263.x
, The Collapse of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, or Just Bad Luck, Journal of Futures Markets, vol.15, pp.221-264, 1995.
, Stochastic Convenience Yield and the Pricing of Oil Contingent Claims, The Journal of Finance, vol.39, issue.3, pp.959-975, 1990.
DOI : 10.1111/j.1540-6261.1990.tb05114.x
, Hedging and value at risk, Journal of Futures Markets, vol.27, issue.4, pp.369-390, 2006.
DOI : 10.1002/fut.20195
URL : https://ore.exeter.ac.uk/repository/bitstream/10036/22078/1/0410.pdf
, Forecasting, Structural Time Series Models and the Kalman Filter, 1989.
, Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot, The Journal of Financial and Quantitative Analysis, vol.33, issue.1, pp.61-86, 1998.
DOI : 10.2307/2331378
, Filtering in Finance, Wilmott, vol.52, issue.3, pp.67-83, 2003.
DOI : 10.1002/wilm.42820030315
URL : https://hal.archives-ouvertes.fr/halshs-00153006
, The Informational Value of Crude Oil Futures Prices, Quarterly Journal of Finance, vol.9, issue.4, pp.67-83, 2005.
URL : https://hal.archives-ouvertes.fr/halshs-00153045
, Term Structure Models of Commodity Prices, The Journal of Alternative Investments, vol.8, issue.1, pp.42-64, 2005.
DOI : 10.3905/jai.2005.523082
, Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts, Review of Financial Studies, vol.12, issue.3, pp.429-459, 1999.
DOI : 10.1093/revfin/12.3.0429
URL : http://rfs.oxfordjournals.org/cgi/content/short/12/3/429
, Stochastic Volatility and Seasonality in Commodity Futures and Options: the Case of Soybeans, Working Paper, 2002.
, Hedging Long Run Commitments: Exercises in Incomplete Market Pricing, Working Paper, 1995.
, Proof that Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review, vol.6, pp.41-49, 1965.
DOI : 10.1142/9789814566926_0002
, The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, The Journal of Finance, vol.5, issue.3, pp.923-973, 1997.
DOI : 10.1111/j.1540-6261.1997.tb02721.x
, Short-Term Variations and Long-Term Dynamics in Commodity Prices, Short term Variations and Long term Dynamics in Commodity Prices, pp.893-911, 2000.
DOI : 10.1287/mnsc.46.7.893.12034
, Hedging long-term commodity risk, Journal of Futures Markets, vol.52, issue.2, pp.109-133, 2003.
DOI : 10.1002/fut.10060
, Valuation of Commodity Derivatives in a New Multi-Factor Model, Review of Derivatives Research, vol.5, issue.3, pp.251-271, 2002.
DOI : 10.1023/A:1020871616158