Mean reversion
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Analysing common processes used to model energy prices
An introduction to energy spot price processes
Cutting edge: Valuation of spread commodity structures
Valuation of spread commodity structures in co-integrated futures markets
Cutting edge – multi-scale volatility in commodity markets
This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications for mean-reversion and volatility estimation. They…
Mean reversion pays, but costs
Mean reversion pays, but costs
Cross-asset correlations pose opportunities - and threats
Opportunities and threats
A two-factor mean-reverting model
Commodity markets exhibit multi-factor behaviour as well as mean reversion. Building upon their previous paper, David Beaglehole and Alain Chebanier conclude the current Masterclass series by developing a two-factor mean-reverting model for crude oil…
Mean-reverting smiles
Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets
Volatility swaps made simple
Volatility
The price of credit
Masterclass – with JP Morgan