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Questions tagged [commodity]

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Regulation around XVA for Commodity Firms

This is more of a Regulation topic than a pure Quant one. The Basel Committee on Banking Supervision (BCBS) has formally recognized CVA by including its risk management as part of the Fundamental ...
mStudent's user avatar
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2 votes
1 answer
255 views

pros and cons of hedging oil contracts with options or futures

I work for an oil trading company. We sell petroleum products indexed on the Brent and hedge our fixed price sales using futures to offset price fluctuations. We do not engage in speculation. I was ...
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USD and Gold price correlation

Gold Prices and U.S. Dollar Correlation - 10 Year Chart shows the similar trend for USD and Gold price for the last 5 years. Are there known explanations for the correlation?
mon's user avatar
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comparing volatilities of 2 different commodities when no delta is provided

If I wanted to compare the relative volatilities of options on 2 different commodities, but the deltas are not provided, is it sufficient to compare by the % each commodities strike is in or out of ...
EMD's user avatar
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11 votes
2 answers
942 views

Oil price model calibration with Kalman Filter and MLE in python

I am trying to calibrate a one-factor mean-reverting process in python 3. The process is defined as: \begin{equation} dX = k(\alpha - X)dt + \sigma dW , \end{equation} where $\alpha = \mu - \frac{\...
gte's user avatar
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2 votes
2 answers
278 views

Crude Oil futures contract delivery

Today was a historical moment with prices for Crude Oil futures contract failing below 0. My question is, if you are a contract holder - can you just refuse the delivery, given that the contracts are ...
Shahin's user avatar
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1 answer
596 views

What happens to farmers' futures contracts if a natural disaster destroys their crops?

Suppose I am a farmer who entered into a futures contract to deliver crops in 6 months. Suppose that a natural disaster destroyed all my crops just before the delivery date. As a result, it will be ...
Flux's user avatar
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