Foreword; Table of contents; List of figures; List of tables; List of abbreviations; 1 Introduction; 1.1 Problem and objective; 1.2 Course of investigation; 2 Data; 3 Empirical analysis; 3.1 Stationarity of prices; 3.2 Analysis of returns; 3.2.1 Stylised properties; 3.2.2 Jumps and GARCH effects; 4 Modelling commodity prices; 4.1 Stochastic processes; 4.1.1 Stochastic volatility; 4.1.2 Jump diffusion; 4.1.3 Lévy processes; 4.2 Model selection; 4.2.1 Calibration; 4.2.2 Goodness of fit; 5 Capital budgeting implications; 5.1 A stylised investment project; 5.2 Results; 6 Conclusion; Appendix

Appendix AA1: Liquidity of commodity prices. A1:; A2: Historical price evolution. A1:; A3: Non-trading dates excluded from dataset (1); A3: Non-trading dates excluded from dataset (2); A4: In-sample APDF: Calibrated parameters (1); A4: In-sample APDF: Calibrated parameters (2); A5: Out-of-sample APDF: Calibrated parameters (1); A5: Out-of-sample APDF: Calibrated parameters (2); A6: Capital investment project: Valuation parameters; Appendix B; B1: Expected value and variance for GBM and the Vasicek model:; B2: Maximum likelihood calibration:; B3: Characteristic function and Fourier transforms

B4: Quadratic exponential scheme for Heston and Bates processB5: Basis functions and confidence intervals in LSM; References