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 […]




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.