This paper presents an empirical study on hedging long-dated crude oil futures options with forward price models … incorporating stochastic interest rates and stochastic volatility. Several hedging schemes are considered including delta, gamma …, vega and interest rate hedge. Factor hedging is applied to the proposed multi-dimensional models and the corresponding …

Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity … this gap by investigating the volatility cross effects between oil and three different non-energy commodity markets. Using … the bivariate VAR-GARCH models, we do not find any evidence of volatility linkage between oil and agricultural product …

-related portfolio should diversify to Philippine equity. From hedging effectiveness and risk-adjusted-performance perspectives, oil is … effectiveness of put replication, gold, and oil on hedge equities in the ASEAN-5 (Indonesia, Malaysia, Singapore, Thailand, and the …-adjusted-performance such as Sharpe ratio, drawdown, and Omega ratio. The result reveals that gold is a cheaper hedge than oil and oil …