The Ornstein-Uhlenbeck Process. An Introduction for Commodity Modelling with Some Extensions. An Example with the London Cocoa Net Spot Instantaneous Convenience Yield (El proceso Ornstein-Uhlenbeck. Una introducciin para el modelaje en commodities con algunas extensiones. Un ejemplo con la tasa neta, spot e instantanea de conveniencia asociada al Cocoa Futures de Londres)
English Abstract: One of the canonical models in the field of international commodity financial markets modelling is known as the Gibson and Schwartz (1990) model. In this model, the net spot instantaneous convenience yield is modelled through an Ornstein-Uhlenbeck process. Based on this, it is relevant for anyone who aims to work in the mentioned field to know the particularities of this stochastic process, such as: (I) its general history; (II) the intuition and interpretation behind it; (III) its general solution; (IV) some of its particular characteristics; (V) the statistics inspired by it that help to test the presence of a mean-reverting pattern or not in a time-series and (VI) the calibration methods. Finally, some of these features will be applied to the concrete case of the London Cocoa net spot instantaneous convenience yield.
