Commodities are the most volatile markets, and forecasting their volatility is an issue of
paramount importance. We examine the dynamics of commodity markets volatility by employing …

Spread options are multi-asset options whose payoffs depend on the difference of two
underlying financial variables. In most cases, analytically closed form solutions for pricing such …

Starting from the observation that single-currency swap basis spreads contradict classical
arbitrage arguments, we construct a framework where this basis arises due to the presence of “…

Commodity is one of the most volatile markets and forecasting its volatility is an issue of
paramount importance. We study the dynamics of the commodity markets volatility by employing …

This model combines two important stylized features of volatility, the rough behavior consistent
with a Hurst parameter less than , and the regime switching property consistent with more …

This study reflects the assessment of the largest European buyside companies concerning
new order execution opportunities like Direct Market Access, Smart Order Routing or …

We propose a novel stochastic modeling framework for coal production and logistics using
option pricing theory. The problem of valuing the inherent real optionality a coal producer has …

Spread options are multi-asset options with payoffs dependent on the difference of two
underlying financial variables. In most cases, analytically closed form solutions for pricing such …

Short sell bans are often imposed during a financial crisis as a desperate measure to stabilize
financial markets. Yet, the impact of short sell bans on option pricing and hedging is not …

This paper analyses the attributes and the significance of the roughness of oil market volatility.
We employ unspanned stochastic volatility models driven by rough Brownian motions that …