In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

Derivatives that manage commodity risk over multiple periods are not Sharīʿah-compliant. This study proposes a Sharīʿah-compliant swaption model (waʿd or promise on swap) for hedging commodity risk. The model combines two separate and independent waʿds (promises) on commodity swap through...