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Linking futures and options pricing in the natural gas market

Rotondi, Francesco - In: Risks : open access journal 13 (2025) 6, pp. 1-28

A robust model for natural gas prices should simultaneously capture the observed prices of both futures and options. While incorporating a seasonal factor in the convenience yield of the spot price effectively replicates forward curves, it proves insufficient for accurately modelling the options...

Persistent link: https://www.econbiz.de/10015436556

Using futures prices and analysts' forecasts to estimate agricultural commodity risk premiums

Cortazar, Gonzalo; Ortega, Hector; Pérez, José Antonio - In: Risks : open access journal 13 (2025) 1, pp. 1-21

This paper presents a novel 5-factor model for agricultural commodity risk premiums, an approach not explored in previous research. The model is applied to the specific cases of corn, soybeans, and wheat. Calibration is achieved using a Kalman filter and maximum likelihood, with data from...

Persistent link: https://www.econbiz.de/10015331232

Hedging effectiveness of commodity futures contracts to minimize price risk : empirical evidence from the Italian field : crop sector

Penone, Carlotta; Giampietri, Elisa; Trestini, Samuele - In: Risks : open access journal 9 (2021) 12, pp. 1-14

Over the last years, farmers have been increasingly exposed to income risk due to the volatility of the commodities prices. Among others, hedging in futures markets (i.e., financial markets) represents an available strategy for producers to cope with income risks at farm level. To better...

Persistent link: https://www.econbiz.de/10012705087

Price discovery and market reflexivity in agricultural futures contracts with different maturities

Volkenand, Steffen; Filler, Günther; Odening, Martin - In: Risks : open access journal 8 (2020) 3/75, pp. 1-17

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable...

Persistent link: https://www.econbiz.de/10012293242

Carl and his pot : measuring risks in commodity markets

Algieri, Bernardina; Leccadito, Arturo - In: Risks : open access journal 8 (2020) 1/27, pp. 1-15

The present study aims at modelling market risk for four commodities, namely West Texas Intermediate (WTI) crude oil, natural gas, gold and corn for the period 2007-2017. To this purpose, we use Extreme Value Theory (EVT) together with a set of Conditional Auto-Regressive Logit (CARL) models to...

Persistent link: https://www.econbiz.de/10012203657

Commodity market risk : examining price co-movements in the Pakistan mercantile exchange

Shear, Falik; Bilal, Muhammad; Ashraf, Badar Nadeem; … - In: Risks : open access journal 12 (2024) 6, pp. 1-15

Commodity price co-movements significantly impact investment decisions. High correlations constrain portfolio diversification and limit risk mitigation potential. While international markets often exhibit strong price linkages, understanding national-level dynamics is crucial for effective...

Persistent link: https://www.econbiz.de/10014636838

Pricing of commodity derivatives on processes with memory

Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle - In: Risks : open access journal 8 (2020) 1/8, pp. 1-32

Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process xi with memory as, e.g., a Volterra equation driven by a Levy process. Moreover, the interest rate and a risk premium rho...

Persistent link: https://www.econbiz.de/10012204043

Sensitivity of performance indexes to disaster risk

Hodoshima, Jiro; Yamawake, Toshiyuki - In: Risks : open access journal 9 (2021) 2/40, pp. 1-22

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

Persistent link: https://www.econbiz.de/10012483189

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de/10015333614

Trading option portfolios using expected profit and expected loss metrics

Venter, Johannes Hendrik; Jongh, Pieter Juriaan de - In: Risks : open access journal 12 (2024) 8, pp. 1-18

When trading in the call and put contracts of option chains, the portfolios of strikes must be selected. The trader must also decide whether to take long or short positions at the selected strikes. Dynamic strategies for making these decisions are discussed in this paper. On any day, the...

Persistent link: https://www.econbiz.de/10015065879