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. We introduce an innovative two step regression approach for model …

Motivated by repeated price spikes and crashes over the last decade, we investigate whether the rapidly growing market … shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …