 Commodity markets: overview, description and structure  Commodity spot price models, their performance and calibration  Forward curve modeling for commodities  Modeling commodity price volatility  Correlations/dependencies in commodity portfolios  Modeling risk of a commodity portfolio  Typical commodity derivatives (quanto, Asian, spread and basket options, volumetric and swing options...

The entry price of supercomputing has traditionally been very high. As processing elements, operating systems, and switch technology become cheap commodity parts, building a powerful supercomputer at a fraction of the price of a proprietary system becomes realistic. We have recently purchased, in support of both our local and national collaborations, a dedicated computational cluster of eight D...

The past decade has seen a sharp increase in the level and volatility of commodity prices (Graph 1). This has occurred alongside a sharp increase in commodity demand from emerging market economies, but also in parallel with a rapid increase in both commodity derivatives trading and financial investor activity in commodity markets (Domanski and Heath 2007; Dwyer, Gardner and Williams 2011). That...

A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets. Such financialization of commodities coincided with significant booms and busts in commodity markets, raising concerns of policymakers. In this paper, we explore the effects of financialization in a model that features institut...

The paper studies the core-Walras equivalence problem in the commodity space framework of Banach spaces, allocations being defined as Pettis integrable functions. In particular, a core-Walras equivalence result for a certain class of commodity spaces is established, without requiring that the commodity space be separable. The class covered by this result includes the Lp(μ) spaces, 1 ≤ p < ∞, μ ...

A well known problem with revealed preference methods is that when data are found to satisfy their restrictions it is hard to know whether this should be viewed as a triumph for economic theory, or a warning that these conditions are so undemanding that almost anything goes. This paper allows researchers to make this distinction. Our approach builds on theoretical support in the form of an axio...