By Dempster, Michael Alan Howarth

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J. Bank. Finance, 2011, 35, 639–652. V. , Growing wealth with fixed mix strategies. C. O. T. Ziemba, pp. 427–458, 2011 (World Scientific: Singapore). FÖllmer, H. , Hedging of contingent claims under incomplete information. , 1990, 5, 389–414. , Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, 2005 (Wiley: New York). Gibson, R. , Stochastic convenience yield and the pricing of oil contingent claims. J. Finance, 1990, 45, 959–976. , Hayashi, F. , The fundamentals of commodity futures returns.

Dempster and Tang 2011). Commodities are real assets and so their prices should be influenced by their supply and demand. The theory of storage (Kaldor 1939, Working 1949, Brennan 1958) sees optimal inventory management as the main determinant of commodity prices. But since commodities are traded through futures contracts, financial markets and trading behaviour will also influence the commodity prices and term structure, as noted by Keynes (1930) in his theory of normal backwardation. More recently, Bailey and Chan (1993) showed that financial factors such as the spread between BAA and AAA bonds can influence the convenience yield of many commodities.

H. Dempster Elena Medova Ke Tang Term Structure of Oil Futures Open Interest • Single-Factor Convenience Yield Models Three-Factor Model Statement.......................................................... 28 Commodity futures prices are usually modelled using affine term structure spot price models with latent factors extracted from the data. However, very little research to date has considered the ­question—What are the economic drivers behind the calibrated latent factors? This paper addresses this question in the context of a three-factor—short-, medium- and long-term—model for crude oil spot prices by studying the relations between these factors and appropriate economic variables.

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