Concepedia

Commodity Derivative Pricing

Commodity Derivative Pricing is a valuation methodology within derivative pricing that specifically determines the fair value of financial instruments whose payoffs are contingent upon the price movements of underlying physical commodities, such as energy, metals, or agricultural products.

36

Publications

1.3K

Citations

73

Authors

44

Institutions

Publications per year

2017–2026

9

Parents

Publications

36

Pricing weather derivatives by marginal value

Mark H. Davis · Quantitative Finance · 2001 · 203 citations

, , +17

Financial contagion and volatility spillover: An exploration into Indian commodity derivative market

Rudra Prosad Roy, Saikat Sinha Roy · Economic Modelling · 2017 · 108 citations

, , +16

Commodity convenience yields as an option profit

Robert Heinkel, Maureen E. Howe, John S. Hughes · Journal of Futures Markets · 1990 · 77 citations

, , +8

Global Commodity Markets - Price Volatility and Financialisation

Alexandra Dwyer, George Gardner, Thomas Williams · RBA Bulletin (Print copy discontinued) · 2011 · 74 citations

, , +13

The Pricing of Commodity‐Linked Bonds

Eduardo S. Schwartz · The Journal of Finance · 1982 · 63 citations

, , +10

1–5 of 36

Authors

73

  1. CS
    Cornelia Staritz

    University of Vienna, Austria

    3 publications · 87 citations

    3

    h-index

  2. ES
    Eduardo S. Schwartz

    University of California, Los Angeles, United States

    2 publications · 86 citations

    2

    h-index

  3. MH
    Mark H. Davis

    Imperial College London, United Kingdom

    1 publications · 203 citations

    1

    h-index

  4. FG
    Firdu Gemech

    University of the West of Scotland, United Kingdom

    1 publications · 21 citations

    1

    h-index

  5. JP
    Javier Población

    Bank of Spain, Spain

    1 publications · 11 citations

    1

    h-index

1–5 of 73

Institutions

44

  1. Bank of Italy

    Rome, Italy

    2 h-index

    2 publications

    71 citations

  2. Chinese University of Hong Kong

    Hong Kong, Hong Kong

    2 h-index

    2 publications

    41 citations

  3. University of Technology Sydney

    Sydney, Australia

    2 h-index

    4 publications

    141 citations

  4. Dr. S.R. Chandrasekhar Institute of Speech and Hearing

    Bengaluru, India

    1 h-index

    1 publications

    13 citations

  5. University of California, Berkeley

    Berkeley, United States

    1 h-index

    2 publications

    72 citations

  6. BOKU University

    Vienna, Austria

    1 h-index

    1 publications

    48 citations

  7. University of Oslo

    Oslo, Norway

    1 h-index

    1 publications

    10 citations

  8. Commodity Futures Trading Commission

    Washington D.C., United States

    1 h-index

    1 publications

    10 citations

1–8 of 44

Venues

  1. Journal of Futures Markets

    4 publications · 125 citations

    4

    h-index

  2. The Journal of Finance

    3 publications · 102 citations

    3

    h-index

  3. Energy Economics

    2 publications · 46 citations

    2

    h-index

  4. Quantitative Finance

    2 publications · 231 citations

    2

    h-index

  5. International Journal of Theoretical and Applied Finance

    IJTAF · 2 publications · 27 citations

    2

    h-index

1–5