Commodity futures
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
CVA pricing for commodities with WWR
A calculation of CVA integrating a commodity futures exposure with probability of an event under WWR and credit downgrades
Iron ore: China forges ahead with internationalisation
China’s iron ore market opens up, despite weak start for crude futures
Chinese oil future could be first of many in Asia
Traders optimistic over long-term prospects for INE RMB crude future
China oil future approved, March start targeted, says source
International banks see healthy interest from overseas clients
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Local volatility models in commodity markets and online calibration
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Statistical testing of DeMark technical indicators on commodity futures
This paper examines the performance of three DeMark indicators over twenty-one commodity futures markets and ten years of daily data.
OTC data under the microscope: Cleaning up derivatives data repositories
Sponsored feature: TriOptima
CSRC: commodity futures speculation not moving spot prices
Eye-watering one-day moves on China spot commodity markets due to “supply and demand”
Chinese clampdown on HFT may hinder new oil contract
Foreign firms may avoid Shanghai crude futures, some participants warn
Index investing paper shows gap between theory and reality
Yale duo’s theories have little in common with experience of real investors
Commodity end-users fret over shrinking number of FCMs
Costly new rules for futures brokers come under fire at CFTC meeting
Commodity index advocates stick to their guns
Defying critics, Yale academics tout commodity investment in new paper
FCMs try to ‘off-board’ credit and commodity funds
Fee hikes are being used to drive out clients that hog capital
Nasdaq energy futures face liquidity challenge
Traders say new exchange may struggle to compete with CME and Ice
ISAM made a killing on porcine virus trade
CTA unflapped by Greece and unimpressed by regulatory uncertainty in Chinese futures
Video: FCStone calls for balance in capital and margin rules
Dodd-Frank rules must balance stability and market liquidity, says global head of risk
AHL spies futures in China rebar, iron ore and polymers
Hedge fund puts algorithms to work in new liquid futures and OTC markets
Ice considers moving Brent contract to avoid EU margin hike
Ice says move is “not an outcome we want to see” but Emir margin could drive users away
No commodity futures extension to Hong Kong Stock Connect
China will instead look to build futures trading onshore via the Shanghai free trade zone
Cutting edge: Kriging smooth energy futures curves
Applying kriging to extract smooth curves from energy futures prices