choose among several grades of the underlying commodity. On the delivery day, the futures price converges to the spot price … price risk, the firm will under-hedge its exposure to commodity price risk. If delivery risk is multiplicatively related to … commodity price risk, the firm will under- or over-hedge this exposure. For constant relative risk aversion, this is illustrated …

Formulating a model which summarises transportation costs, uncertainty and price, we describe how a switch to ICT …

to hedge spot price and basis risks, but to ensure the profitability of the storage business. The scientific literature … mainly discusses the minimum variance hedge ratio, which aims at minimizing spot price and basis risks. In practice, however … futures markets does not make sense. Here, it is better to follow a rather speculative strategy that takes account of price …

In the context of recent commodity price hikes, the financialisation of commodity derivative markets, reflected in the …