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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René*
hal.structure.identifier
dc.contributor.authorCampi, Luciano*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLautier, Delphine*
dc.date.accessioned2019-05-04T14:09:50Z
dc.date.available2019-05-04T14:09:50Z
dc.date.issued2019
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18871
dc.language.isoenen
dc.subjectFutures contracts
dc.subjectno-arbitrage relation
dc.subjectcommodity
dc.subjectproduction
dc.subjectstorage
dc.subjectenergy
dc.subjectC32
dc.subjectG13
dc.subjectQ4
dc.subjectQ02
dc.subject.ddc333en
dc.subject.classificationjelC.C3.C32en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelQ.Q4.Q40en
dc.subject.classificationjelQ.Q0.Q02en
dc.titleA model on the spot-futures no-arbitrage relations in commodity markets
dc.typeChapitre d'ouvrage
dc.description.abstractenIn commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading in the associated futures contracts. In this framework, the relation between the spot and the futures prices holds through the well-posedness of the maximization problem. We show that the futures price can still be seen as the risk-neutral expectation of the spot price at maturity and we propose an explicit formula for the forward volatility. Moreover, we provide an heuristic analysis of the optimal solution for the production/storage/trading problem, in a Markovian setting. This approach is particularly interesting in the case of energy commodities, like electricity: this framework indeed remains suitable for commodities characterized by storability constraints, when standard no-arbitrage arguments cannot be safely applied.
dc.identifier.citationpages170-190
dc.relation.ispartoftitleFinancial Mathematics, Volatility and Covariance Modelling
dc.relation.ispartofeditorJ. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji
dc.relation.ispartofpublnameRoutledge
dc.relation.ispartofdate2019
dc.relation.ispartofurlhttps://doi.org/10.4324/9781315162737
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen
dc.relation.ispartofisbn9781138060944
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2019-12-12T08:53:34Z
hal.identifierhal-02119929*
hal.version1*
hal.update.actionupdateFiles*
hal.update.actionupdateMetadata*
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