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 yield curves.
commodities, storable commodity, linar derivatives, convenience yield, futures, forward contracts, arbitrage-free strategy
Pdf file: intro-commodity-derivatives.pdfintro-commodity-derivatives