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Redefining the convenience yield in the North Sea crude oil market

Abstract:

The objective of this paper is to adapt the classical spot/futures relationship stemming from the theory of storage to the case of the North Sea crude oil market. Brent (and other North Sea crude oil grades) is waterborne and these logistical issues mean that a true spot market for Brent does not exist. As a result, the dated Brent (BFO) price, one of the most widely quoted ‘spot’ crude oil marker prices in the world, is in reality a short-term forward contract price. A new arbitrage relation...

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Publication status:
Published
Peer review status:
Reviewed (other)

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Institution:
University of Oxford
Research group:
Oxford Institute for Energy Studies
Role:
Author
More by this author
Institution:
University of Oxford
Research group:
Oxford Institute for Energy Studies
Role:
Author
Publisher:
Oxford Institute for Energy Studies Publisher's website
Series:
OIES paper
Publication date:
2004-01-01
Paper number:
M28
ISBN:
1901795314
Language:
English
Keywords:
UUID:
uuid:816b5763-3cbf-48aa-8ddf-179bdc1ece1b
Local pid:
ora:10525
Deposit date:
2015-03-12

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