This study introduces a non linear model for commodity futures prices which accounts for pressures due to hedging and speculative activities. The linkage with the corresponding spot market is considered assuming that a long term equilibrium relationship holds between futures and spot pricing....

The growing presence of financial operators in the oil market has brought about the diffusion of techniques - such as feedback trading - which lead to departures of prices from their fundamental values and increase their variability. Oil price changes are here associated with changes in stocks,...

Under rather general conditions Black - Scholes implied volatilities from at-the-money options appropriately quantify, in each period, the market expectations of the average volatility of the return of the underlying asset until contract expiration. The efficiency of these expectation estimates...

Abstract Over the last 15 years, exchange rate movements have been smoother and slower than expected, given the entity of the sharp shifts in the fundamental variables brought about by the international financial crisis. Since the beginning of the ’90s researchers have explored different...

Our results show that over the two cycles that characterize the 2003-2016 period a significant change in the working of oil markets occurs. Our pricing investigation, based on a three-agent model (hedgers, fundamentalist speculators and chartists), find that from 2009 onwards traditional...

We analyze short-term futures oil pricing over the 2003-2016 time-period in order to analyze the bubble-like dynamics, which characterizes the 2007-2009 years according to a large body of recent literature. Our investigation, based on a flexible three-agent model (hedgers, fundamentalist...