## Introduction to linear commodity derivatives

Abstract We provide an introduction to linear derivatives on common storable commodities. Using no-arbitrage arguments we derive an expression for the quote of commodity future contracts and we highlight the importance of convenience yield. We show a some numerical results for the convenience-yield term structure of few common commodities and focus on the similarities with […]

## QuantLib on a Jupiter Notebook

After using QuantLib on excel (see the excellent QuantLibXL addin) for many years I have recently started to use it, as also suggested by Luigi in this video, in a ipython in a jupyter notebook. Moving away from excel was easier than I thought especially thanks to the pandas project. I am still experimenting with these […]

## Superannuation Fund Investment Operations 2015 Forum

Title: Setting the SRM market Standard for Superannuation Trustee Topics • Understanding the APRA regulation for the Standard Risk Measure (SRM) • Implementation of the FSC/ASFA guidelines: is SRM standard? • SRM based on the return distribution and its expected evolution • Is volatility important? • A new proposed path to compute the SRM: the ex-ante […]

## Berlin-Priceton-Sinagpore Workshop on Quantitative Finance

Title: Risk contribution framework for non-linear portfolios Abstract: The computation of risk contributions is a necessary complementary tool to be used in conjunction with the computation of risk measures and stress tests. Even though the theory of risk measures for a generic probability distribution has been well established, so far there seems to be no […]

## Numerical Computation of VIX-Futures Risk Components

We describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic-volatility mean- reverting constant-elasticity-of-variance process to model the VIX dynamics. Following non-arbitrage arguments the market expectation of VIX futures price results in a function of three financial variables: the spot VIX index, the long-term expected VIX […]

## Second NUS—Stanford Workshop in Quantitative Finance: Statistical Issues

Title: Numerical Computation of VIX-Futures Risk Components Abstract: We describe a method to perform risk simulations of VIX futures, according to the historical-simulation model. We assume a stochastic-volatility mean-reverting constant-elasticity-of-variance process to model the VIX dynamics. Following non-arbitrage arguments the market expectation of VIX futures price results in a function of three financial variables: the […]

## Linear Factor Models

Linear factor models provide a mathematical relationship between market factors and risk drivers. We provide an overview of linear models focusing on those model that allows an external definition of the market factors. We then show the numerical results for two statistical models: the ordinary least-square method and the Kalman filter.

## Computation of Stress Scenarios

We propose three methods to compute simulated stress scenarios as an extension to the Statpro historical-simulation framework. We provide pricing formulas for all methods: historically inspired, risk-driver based, and factor based.

## Risk Contributions in Simulations of Commodity Derivatives

It is well-known fact the importance of commodities as an asset class alternative to equities and bonds. Since more and more commodity-based derivatives are traded in the financial markets, it is important to be able to properly compute the risk for these products. We review the importance of convenience yield in commodity-derivative pricing and describe […]

## Second NUS Workshop on Risk and Regulation

Title:Risk Contributions in Simulations of Commodity Derivatives Abstract: It is well-known fact the importance of commodities as an asset class alternative to equities and bonds. Since more and more commodity-based derivatives are traded in the financial markets. it is important to be able to properly compute the risk for these products. We review the importance […]