---
title: Gibson-Schwartz Commodity Models
url: https://www.ml-quant.com/papers/ssrn/4881648/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4881648
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4881648
featured: 2024-07-03
citations: unknown
topic: Derivatives & Volatility
---


# Gibson-Schwartz Commodity Models

The article extends the Gibson and Schwartz 1990 and Schwartz and Smith 2000 twofactor models for commodity spot price to include stochastic volatility and correlation, improving match with volatility smiles and studying timevarying correlation in commodity markets.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4881648
- Identifier: SSRN 4881648
- Released: 2024-07-01
- First featured: Quant Letter No. 55 (2024-07-03): https://www.ml-quant.com/issues/2024-07-03/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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