Crude oil derivatives form an important part of the global derivatives market. In this paper, we focus on Asian options which are favoured by risk managers being effective and cost-saving hedging instruments. The paper has both empirical and theoretical contributions: we conduct an empirical...

This paper examines the role of commodities in asset allocation from the perspective of dynamic portfolio management. To this end, we model conditional variances and correlations of stock, bond and commodity futures to study how conditional second moments affect the optimal portfolio choice of a...

The aim of this paper is to investigate if, and to what extent, events from the three financially troubled EU markets (Greece, Ireland, and Portugal) affected energy prices during the recent EU financial crisis. More specifically, (i) we test for contagion effects from bond markets on...

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and...