This article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying asset and the derivative instrument. Second, it allows...

La présentation de la théorie du stockage et de la notion de convenience yield permet d’exposer les fondements théoriques des modèles de structure par terme des prix des commodités. Ces derniers peuvent être utilisés pour réaliser des opérations de couverture ou dans le cadre de...

An analysis focusing on the financial aspects is proposed for the strategy initiated by Metallgesellschaft (MG) in 1993-94 on American petroleum markets. According to a specific definition of hedging, and on the basis of a detailed survey of the facts, this strategy is described as speculative....

The aim of this pH-D thesis is to answer the following question : Is it possible to use the information offered by the commodity futures markets and the hedging instruments they propose to value a petroleum field and decide when it is suitable to invest ? A term structure model for commodity...

The aim of this pH-D thesis is to answer the following question : Is it possible to use the information offered by the commodity futures markets and the hedging instruments they propose to value a petroleum field and decide when it is suitable to invest ? A term structure model for commodity...