Apart from stocks and bonds commodities represent the third large group of risky assets on which financial contingent claims are written. Therefore the stochastic behavior of commodity prices plays a central role for valuating these contingent claims. Based on the three articles and working papers ""Stochastic Convenience Yield and the Pricing of Oil Contingent Claims"", ""The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging"", and ""Electricity prices and power derivatives: Evidence from the Nordic Power Exchange"" by Eduardo Schwartz, in which he introduces several models to describe the stochastic behavior of commodity prices in general and uses these models to price oil and electricity futures, three models of the stochastic behavior of natural gas prices are presented in this thesis and compared in terms of their ability to price short-term future contracts. Special attention was paid to possible seasonal effects due to higher natural gas consumption during the winter and to the ability of the models to capture these effects.     «

Apart from stocks and bonds commodities represent the third large group of risky assets on which financial contingent claims are written. Therefore the stochastic behavior of commodity prices plays a central role for valuating these contingent claims. Based on the three articles and working papers ""Stochastic Convenience Yield and the Pricing of Oil Contingent Claims"", ""The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging"", and ""Electricity prices and power de...     »