Study on the risk of linear commodity derivatives using historical simulations

Italian title: Studio sul Rischio Relativo a Derivati Lineari su Commodities, con l’utilizzo di Simulazione Storica

Author: Andrea Boschetto

Advisor: Marco Marchioro

Language: Italian

Keywords: risk, commodities, linear derivatives, hedging, risk measures, quantlibxl, convenience yield, forward curve, historical simulation, master thesis, futures, risk decomposition

Pdf file: Boschetto-advs-Marchioro.pdf

Boschetto-advs-Marchioro

Something to Say?