Journal ArticleDOI
Models with Short-Term Variations and Long-Term Dynamics in Risk Management of Commodity Derivatives
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TLDR
In this paper, the authors adopt Schwartz and Smith's model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts, and Mirantes, Poblacion and Serna's model(2012) for calculating risk measures for listed energy commodity futures contracts.Abstract:
We adopt Schwartz and Smith’s model (2000) to calculate risk measures of Brent oil futures contracts and light sweet crude oil (WTI) futures contracts and Mirantes, Poblacion and Serna’s model (2012) to calculate risk measures of natural gas futures contracts, gasoil futures contracts, heating oil futures contracts, RBOB gasoline futures contracts, PJM western hub peak and off-peak electricity futures contracts. We show that the models present well goodness of fit and explain two stylized facts of the data: the Samuelson effect and the seasonality effect. Our backtesting results demonstrate that the models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method possessing quick convergence is developed.read more
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Double-sided balanced conditional Sharpe ratio
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Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities—Revisiting Metallgesellschaft
James S. Doran,Ehud I. Ronn +1 more
TL;DR: In this paper, a model-free non-parametric approach to extrapolating futures prices and implied volatilities is presented, which is used to implement hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, utilizing the useful benchmark of hedge ratios arising from Schwartz and Smith.
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Heavy-tailed Distributions and the Canadian Stock Market Returns
TL;DR: In this article, the authors investigated several widely-used heavy-tailed distributions and found that the skewed t distribution has the best empirical performance in fitting the Canadian stock market returns. But the results are valuable for market participants and the financial industry.