Questions tagged [commodities]
The commodities tag has no usage guidance.
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Arbitrage arguments for a commodity forward on investment assets
I am trying to understand the arbitrage arguments used for commodity forwards on investment assets. The theoretical price is given by $F_0 = (S_0 + U)e^{rT}$, where $U$ is the present value of all the ...
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Justification of the Risk Neutral Measure in the Schwartz One Factor Commodity Model
I have been trying to understand the form of the risk neutral measure in the Schwartz one factor model for commodities (Model 1 on page 6 here) where the spot price of a commodity follows the process ...
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Commodity forward curve Monte-Carlo
I need to value an Asian commodity option using Monte Carlo and a log-normal model. The inputs are the commodity forward curve and the volatility surface for futures/options expiry. Unfortunately, all ...
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Forecasting forward curve using Gaussian Process Regression
I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
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How is volatility surface re-calibrated with new inputs?
I'm a newby on this topic so please bear with me. My question is:
I've a strike by strike / listed products volatility surface, and I was asking how can I recalibrate my surface during the day ...
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API for stock price data for commercial re-distribution? [duplicate]
(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.)
It seems there are many websites offering API for ...
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Updated Methods for deriving the "front month equivalent" series in commodities derivatives
It is common in commodities markets to hold many positions, both long
and short, across a range of contract months beginning in the prompt
month to five or more years out. [My question is:] What is ...
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Mispricing models for non-equity asset classes
Despite risk-factor models like Fama/French
(1993) or q-theory based models like Hou et al. (2015), others have proposed factor-models to capture mispricing in equities, e.g. Stambaugh/Yuan (2017) and ...
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MonteCarlo Value At Risk for futures portfolio
I wanted to ask, suppose I have a portfolio of futures of gasoline and other oil products eg ULSD (Ultra Low Sulphur Diesel), WTI (West Texas Intermediate) for different months. I want to compute the ...
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Long and short Open interest not adding up to 0 ESMA COT data
I have a rather silly question, from my understanding in the futures market (commodities in this case) There should be a buyer and a seller for every futures position that is initiated.
Open interest:...
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Why do companies trade options?
Companies buy options to reduce the variability in future cash flows.
Institutional investors invest in portfolios to maximize return for a fixed amount of risk. If an investor owns stock in company A ...
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option pricing using empirical distribution
I am looking for ways to express a directional bet on a commodity through futures options.
Assume that there's 50% probability that oil will spike up 100% in the span of 30% during the next 9 months ...
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Commodity Futures Cascading in Python
I am new to Quantitative Finance so please bear with me. I have the following data set:
...
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Commodities forward curve
I'm dealing with the calibration of the forward curve for energy products.
I found an approach proposed by Benth et al., in which the forward curve is parameterized as $f(t) = s(t) + \epsilon(t)$
...
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Are the buy/sell demand, the underlying spot price and the time value, the only factors in futures contract price?
Are the buy/sell demand on the future contract, the underlying spot price and the time value (days to expiration and the accelerating decay in backwardation or rising in contango, coefficent ) are the ...
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