Price discovery
US gas market challenges
A new report from the investigative office of the Federal Energy Regulatory Commission finds that competitive natural gas markets in the US are robust, but warns of challenges ahead. Kevin Foster reports
Unified Asian pricing
Options
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
Forward CMS rate adjustment
Constant maturity products
The taming of the skew
Implied volatility
Jumping smiles
Options