s for the conference on ”Energy and Commodity Risk Management and hedging of Commodity Derivatives” Wolfgang Pauli Institute, Vienna

FirstpubIished in Studies in Philosophy and Social Sciences Vol. IX (1941), thearticle is a large-scale investigation of that "fetish "of technique, ortechnical efficiency, which, after 1941, represented for critical theory, especially for Marcuse, the key ideological replacement of the commodity fetish under modern industralized authoritarian states. With respect to Marcuse's better-known late...

We apply a commodity-money refinement to matching models in which people meet in pairs and buyers make take-it-or-leave-it offers to sellers. The refinement is applied by attaching a utility value to nominal money and letting that value approach zero. An equilibrium satisfies the refinement if it is such a limit. We show that the refinement eliminates a class of non full-support steady states. ...

It is argued that the vector space measures used to measure closeness of market prices to predictors for market prices are invalid because of the observed metric of commodity space. An alternative representation in Hilbert space within which such measures do apply is proposed. It is shown that commodity exchanges can be modeled by the application of unitary operators to this space. In 1983 Farj...

This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The...

We estimate a model of common and commodity-specific, highand low-frequency factors, built on the spline-GARCH model of Engle and Rangel (2008) to explain the period of exceptionally high price volatility in commodity markets during 2006-2008. We find that decomposing realized volatility into highand low-frequency components reveals the impact of slowly-evolving macroeconomic variables on the p...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...