This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of derivatives on single commodities. We discuss the Black, mean-reversion and local volatility pricing models with special attention paid to the parameterization of volatility surfaces....

A commodity index is designed as an equal-weighted set of four complementary tactics. The resulting portfolio takes advantage of well-established patterns in commodity markets, including high volatility and the relative independence of the return drivers. These conditions are ideal for achieving...

Winter storm Uri impacted large swaths of the Continental United States, including the State of Texas, over the period Feb. 13 -- Feb. 17, 2021. This research attempts to discern what the natgas and power commodity markets are anticipating for Texas for the First Quarter of 2022. As of this...