index filtering. We use the data of 47 commodities with relatively good liquidity in the Chinese commodity futures market …. We apply the representative index of China's commodity futures market, "Wenhua Commodity Index" as the benchmark, to … more than 1%. In the same period, trading the Wenhua Commodity Index with a "buy and hold" strategy achieved a gain of 31 …

This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of … and barrier options on the Dow Jones UBS Commodity Index by replicating the index with a portfolio of correlated single … calibration and present theoretical insights on futures correlations. In an empirical case study we perform the pricing of call …