Volatility in Crude Oil Markets: Trading and Risk Management

The most important crude oil grades (Brent and WTI) are quite volatile so all market players, from financials to producers, have to hedge themselves against unwanted market risk. Hedging is always tricky and often done with financial derivatives such as options, futures and swaps. This particular quantitative research adopts the implied volatility extracted from Average […]

Commodity Portfolio Management: Strategy Structuring Considerations

Commodity Portfolio Management: Strategy Structuring Considerations is the first part of a larger study whose second part is called Commodity Portfolio Management: Hedging Market Risk. This deliberately simple quantitative research shows how different the statistical IDs of each commodity markets can be. The focus in the first part of this HyperVolatility research is not going […]

Commodity Portfolio Management

As far as commodity portfolio management is concerned, several managers tend to adopt techniques which are usually borrowed from other markets such as equities, currencies or bonds. Nevertheless, effective portfolio management has to be based on solid, applied quantitative research and, given the high volatility and seasonality effect characterising commodity markets, a portfolio based on […]

Commodity Portfolio Management: Hedging Market Risk

__________________________________________________________________________________________________ This is the second part of an extended research whose first part, entitled Commodity Portfolio Management: Structuring Considerations, was previously published on the J.P. Morgan Global Commodities Applied Research Digest journal. It is worth reminding that the main goal of the present research is to identify the most efficient way to structure and manage […]