This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

To compare the impact of fundamental news with the publication of traders' positions in an event study framework, a generalized autoregressive conditional heteroscedasticity (GARCH) model with t-distributed error terms is applied to corn, soybean, and wheat futures returns from January 1996 to...

This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

We examine the response of ICE Brent Crude futures to the spot Dated Brent benchmark published by Platts. Trading activity in the futures market intensifies during the benchmark assessment. We also find trading in the direction of the published benchmark during the price assessment window....

Many trends in the world wheat market might explain the extreme price movements on the U.S. wheat futures markets in 2007/08 and 2010. But the different price reactions on the three wheat futures markets raise doubt if only supply and demand moved wheat future prices. The question arises if the...

We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the deviation. A demand shock leads to greater liquidity,...

We extract implied price densities from wheat derivative prices during the first seven months of the Ukrainian war. Differences between short- and longterm densities indicate that market expectations about the duration of the conflict changed over time. Under simplifying assumptions, we...

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

We develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments. Assuming that the portfolio is priced by the backward (American) Monte-Carlo method, our approach allows calculating the credit exposure as a pricing...