This paper examines an anomaly called short squeeze and its consequences in the Bund futures market. By short squeeze, in the present context, is meant a phenomenon caused by the shortage of the cheapest-to-deliver Bunds in the market to meet the delivery requirement of the futures contract. The...

In this paper, formulas for commodity swaptions are presented. By utilizing the forward price based approach a simple closed form solution for European swaptions is derived based on the assumption of deterministic volatility for lognormal variables. The formulas result from applying the Margrabe...