The importance of modelling futures dynamics in commodity index derivatives

- By Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini and Carlos Vázquez
- 20 Nov 2025

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This paper compares two distinct modelling approaches for pricing derivative contracts on commodity excess return indexes, specifically those based on futures rolling strategies. The first, a microscopic approach, models individual underlying futures contracts and derives the index price from these. While offering significant flexibility, its calibration presents

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