This paper proves that the prices of options on forwards in commodity markets converge to the Black-76 formula when the short-term variations of the logarithmic spot price are a stationary Ornstein-Uhlenbeck...
A lack of guidance on the swap dealer provisions of the US Dodd-Frank Act is turning compliance into a guessing game for swap dealers such as Cargill Risk Management, suggests the firm's chief compliance...
Citi head of global commodities “doesn’t lay awake at night awaiting a full-scale assault” from non-bank companies, such as oil majors and commodity trading houses
More Commodity articles
The past year has not been a good one for commodity investment. Passive commodity indexes have delivered disappointing returns, while a number of high-profile commodity hedge funds have been forced to close. What is the outlook for investor interest in...
Vote now in the 2014 Risk & Energy Risk Commodity Rankings
Commodities are being increasingly driven by market fundamentals, say analysts, forcing investors to search harder for returns
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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