Questions tagged [commodities]
The commodities tag has no summary.
119 questions
2
votes
2
answers
169
views
How to price vol for options on forwards when forward settlement does not match option expiry
This is a question about how to compute vol for non-listed options for OTC pricing
Say you have the following quoted options on commodity futures (option expiry/fwd contract settlement):
2 months / 2 ...
1
vote
2
answers
229
views
Power market books for Quantitative Finance
I am currently looking for some comprehensive books on commodities, particularly focusing on the power market. My goal is to better understand the various financial products involved, their pricing ...
- 41
1
vote
0
answers
68
views
Trying to understand bloomberg's OVML quanto adjustments for commodities options
In the image we can see a screenshot of OVML pricing an option on soybean futures.
My main issue is that I expect the quanto forward to align with:
F_qto = F * exp(-rho * asset_vol * fx_vol * T), but ...
1
vote
1
answer
181
views
Commodity Option Pricing - Which implied volatility to use?
I am trying to value a simple european option on ICE Brent - and I'm struggling with understanding which implied volatility to use when option expiry differs from the maturity of the underlying.
I ...
- 11
0
votes
0
answers
78
views
commodity futures data from nasdaq (former quandl)
Has anyone worked with futures api from nasdaq?
I would like to get historic data (daily) to study the term structure (so different maturities). Naturally I found that nasdaq / quandl data which seems ...
0
votes
1
answer
86
views
Why do academics use simple interest rather than compounding when calculating annualised returns? [closed]
I've seen than in commodities research, returns seem to be treated as simple rather than compounding. For example, the formula for annualised return would be $r_Y = r_M \times 12$ rather than $r_Y = ...
- 472
1
vote
1
answer
100
views
Gibson-Schwartz 2-factor model: derivation proof of the differential of the risk factor $x_{2,t}$
In the Gibson-Schwartz 2-factor model for commodity products, the dynamics of one of the two risk factors is defined as:
$$x_{2,t} = \int_{0}^{t}z_{u}du \;\;\;\;\text{ where } \;\;\;\; z_{u} = \int_{0}...
- 157
1
vote
1
answer
136
views
Gibson & Schwartz two factor model: mathematical derivation of the total expected return of a commodity contingent claim
I have been recently introduced to the Gibson & Schwartz two factor model (1990, link). According to the model, the dynamics of the spot commodity (oil) price ($S$) and of the convenience yield ($\...
- 157
2
votes
1
answer
219
views
Use of Non-Risk-Neutral Measure for Pricing Derivatives
While trying to understand the risk-neutral pricing of derivatives when the underlying is the spot price of a commodity, I encountered the situation that the measure used for pricing derivatives is ...
- 41
0
votes
1
answer
152
views
How to properly calcualte Realized Variance for WTI?
I have several realized variances for WTI, RV, scaledRV, RSVN(negative) and RSVP(positive), which were given to me by a professor whom I cant contact anymore. When I try to calculate my own RV (in ...
- 3
0
votes
0
answers
101
views
Peaks and gaps in log-return of XAUUSD 1-minute log-return density
I'm tinkering around a 1-minute XAUUSD data from March 2009-December 2023 to see if I can model it with a log-normal or log-t distribution and I happen to notice some interesting properties in the log-...
0
votes
1
answer
154
views
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 ...
1
vote
0
answers
68
views
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 ...
1
vote
1
answer
195
views
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 ...
- 111
1
vote
0
answers
206
views
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 ...
- 11