Concepedia

Commodity Derivatives Pricing

Commodity Derivatives Pricing is a quantitative methodology within financial economics that determines the fair value of derivative instruments linked to physical commodities by modeling underlying price dynamics, risk premiums, and market constraints specific to commodity markets.

40

Publications

2K

Citations

67

Authors

51

Institutions

Publications per year

2017–2026

6

Parents

Publications

40

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders B. Trolle, Eduardo S. Schwartz · Review of Financial Studies · 2009 · 362 citations · Full text

, , +17

Pricing weather derivatives by marginal value

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

, , +17

Broker-Dealer Risk Appetite and Commodity Returns

Erkko Etula · Journal of Financial Econometrics · 2013 · 159 citations

, , +17

Can commodity futures be profitably traded with quantitative market timing strategies?

Ben R. Marshall, Rochester H. Cahan, Jared M. Cahan · Journal of Banking & Finance · 2007 · 117 citations

, , +17

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Anders B. Trolle, Eduardo S. Schwartz · SSRN Electronic Journal · 2008 · 115 citations · Full text

, , +17

1–5 of 40

Authors

67

  1. ES
    Eduardo S. Schwartz

    University of California, Los Angeles, United States

    4 publications · 563 citations

    4

    h-index

  2. CS
    Cornelia Staritz

    University of Vienna, Austria

    3 publications · 71 citations

    3

    h-index

  3. JM
    Jared M. Cahan

    Massey University, New Zealand

    2 publications · 143 citations

    2

    h-index

  4. ID
    Ilias D. Visvikis

    Athens University of Economics and Business, Greece

    2 publications · 147 citations

    2

    h-index

  5. AB
    Anders B. Trolle

    Copenhagen Business School, Denmark

    2 publications · 477 citations

    2

    h-index

1–5 of 67

Institutions

51

  1. Knowledge Foundation

    Stockholm, Sweden

    2 h-index

    2 publications

    105 citations

  2. Massey University

    Palmerston North, New Zealand

    2 h-index

    4 publications

    377 citations

  3. Athens University of Economics and Business

    Athens, Greece

    2 h-index

    3 publications

    248 citations

  4. University of Technology Sydney

    Sydney, Australia

    2 h-index

    5 publications

    110 citations

  5. University of Mannheim

    Mannheim, Germany

    2 h-index

    2 publications

    81 citations

  6. Copenhagen Business School

    Copenhagen, Denmark

    2 h-index

    2 publications

    477 citations

  7. University of California, Los Angeles

    Los Angeles, United States

    2 h-index

    2 publications

    477 citations

  8. Universidad de Alcalá

    Alcalá de Henares, Spain

    1 h-index

    1 publications

    11 citations

1–8 of 51

Venues

  1. The Journal of Finance

    5 publications · 207 citations

    5

    h-index

  2. Quantitative Finance

    4 publications · 289 citations

    4

    h-index

  3. Journal of Banking & Finance

    4 publications · 212 citations

    4

    h-index

  4. SSRN Electronic Journal

    Repository · 3 publications · 154 citations

    3

    h-index

  5. International Journal of Theoretical and Applied Finance

    IJTAF · 2 publications · 27 citations

    2

    h-index

1–5