Commodities - Reading List Reading List Equilibrium Models – Risk-Return
  1. Grauer, F.A. and R.H. Litzenberger, "The Pricing of Commodity Futures Contracts, Nominal Bonds and Other Risky Assets under Commodity Price Uncertainty," Journal of Finance, 44 (March 1979), 69-82.
  2. Jagannathan, R., "An Investigation of Commodity Futures Prices Using the Consumption-Based Intertemporal Capital Asset Pricing Model," Journal of Finance, 60 (March 1985), 175-191.
  3. Richard, S.F. and M. Sundaresan, "A Continuous Time Equilibrium Model of Forward Prices and Futures Prices in a Multigood Economy," Journal of Financial Economics, 9 (1981), 347-371.

    4. Empirical Facts about Commodities

  4. Amin, K., V. Ng, and S.C. Pirrong, "Valuing Energy Derivatives," chapter 3 in Managing Energy Price Risk, 57-70, London: Risk Publications, 1995.
  5. Deaves, R. and I. Krinsky, "Do Futures Prices for Commodities Embody Risk Premiums?" Journal of Futures Markets, 15 (1995) 637-648
  6. Duffie, D., and S. Gray, "Volatility in Energy Prices," chapter 2 in Managing Energy Price Risk, 57-70, London: Risk Publications, 1995.
  7. Fama, E.F., and K.R. French, "Business Cycles and the Behavior of Metals Prices," Journal of Finance, 43 (December 1988), 1075-1093.
  8. Fama, E.F., and K.R. French, "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage," Journal of Business, 60 (1997) 55-???
  9. Kaminski, V., "The Challenge of Pricing and Risk Managing Electricity Derivatives," chapter 10 in The US Power Market, 149-171, London: Risk Publications, 1997.
  10. Ng, V., and S. Pirrong, "Fundamentals and Volatility: Storage, Spreads and the Dynamics of Metals Prices," Journal of Business, 67 (April 1994), 203-230.

    11. Derivative Prices

  11. Black, F., "The Pricing of Commodity Contracts," Journal of Finance Economics, (September 1976), 167-179.
  12. Cox, J.C., J.E. Ingersoll, S.A. Ross, "The Relation Between Forward Prices and Futures Prices," Journal of Financial Economics, 9 (1981) 321-346.
  13. Schwartz, E., "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, 52 (July 1997), 923-973.
  14. Seppi, D.S., "A Survey of Stochastic Processes and Methods for Energy and Commodity-Linked Contingent Claims," Working Paper, Carnegie Mellon University, (February 1998).
  15. Schwartz, E., and J.E. Smith, "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Manuscript, Duke University (June 1997).
  16. Steve Shreve’s Notes on Stochastic Calculus and Finance see: http://www.cs.cmu.edu/~chal/shreve.html
  17. Miltersen, K.R., and E.S. Schwartz, "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis; v33 (March 1998) 33-59.
  18. Gibson, R., and E. Schwartz, "Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, 45 (July 1990), 959-976.
  19. Brennan, M., "The Price of Convenience and the Valuation of Commodity Contingent Claims," in D. Lund and B. Oksendal (eds.), Stochastic Models and Option Models, Elsevier Science Publishers, 1991.
  20. Amin, K., V. Ng, and S.C. Pirrong, "Valuing Energy Derivatives," chapter 3 in Managing Energy Price Risk, 57-70, London: Risk Publications, 1995.
  21. Cox, J., J. Ingersoll, and S. Ross, "The Relation Between Forward Prices and Futures Prices," Journal of Financial Economics, 9 (1981), 321-346.
  22. Smith, J.E. and E. Schwartz, Short-term Variations and Long-term Dynamics in Commodity Prices, Duke Working Paper (June 1997 – Get MAY 1998 Version)

    23. Hedging and Metallgesellschaft

  23. Brennan, M., and N.I. Crew, "Hedging Long-Dated Maturity Commodity Commitments with Short-Dated Futures Contracts," Manuscript, University of California at Los Angeles (April 1996).
  24. Culp, C., and M. Miller, "Metallgesellschaft and the Economy of Synthetic Storage," Journal of Applied Corporate Finance, 7 (Winter 1995), 62-76.
  25. Culp, C., and M. Miller, Hedging in the Theory of Corporate Finance: A Reply to Our Critics," Journal of Applied Corporate Finance, 8 (Spring 1995), 121-127.
  26. Edwards, F.R. and M.S. Canter, "The Collapse of Metallgesellschaft: Unhedgeable Risks, Poor Hedging Strategy, or Just Bad Luck?" Journal of Applied Corporate Finance, 8 (Spring 1995), 86-105.
  27. Mello, A., and J. Parsons, "The Maturity Structure of a Hedge Matters: Lessons from the Metallgesellschaft Debacle," Journal of Applied Corporate Finance, 8 (Spring 1995) 106-120.
  28. Neuberger, A., "How Well Can You Hedge Long-Term Exposures with Multiple Short-Term Futures Contracts?" manuscript, London Business School (March 1996).
  29. Pirrong, S. C., "Metallgesellschaft: A Prudent Hedger or Wildcatter on NYMEX?" The Journal of Futures Markets, 17 (1997), 544-578.
  30. Ronn, E.I., and C.N. Xuan, "Hedging Long-Dated Oil Futures Contracts: An Empirical Investigation." Manuscript, University of Texas at Austin (October 1997).
  31. Ross, S.A., "Hedging Long Run Commitments: Exercises in Incomplete Market Pricing," Economic Notes by Banca Monte, 26 (1997), 99-132.

    32. Equilibrium Models – Storage

  32. Black, F., "Interest Rates as Options," Journal of Finance, 50 (December 1995), 1371-1376.
  33. Bresnahan, T.F., and P.T. Spiller, "Futures Market Backwardation Under Risk Neutrality," Economic Inquiry, 24 (July 1986), 429-441.
  34. Bresnahan, T.F., and V.Y. Suslow, "Inventories as an Asset: The Volatility of Copper Prices," International Economic Review, 26 (June 1985), 409-424.
  35. Chambers, M., and R. Bailey, "A Theory of Commodity Price Fluctuations," Journal of Political Economy, 104 (October 1996), 924-957.
  36. Deaton, A., and G. Laroque, "Competitive Storage and Commodity Price Dynamics," Journal of Political Economy, 104 (October 1996), 896-923.
  37. Deaton, A., and G. Laroque, "On the Behaviour of Commodity Prices," Review of Economic Studies, 59 (January 1992), 1-23.
  38. Heinkel, R., M. Howe, and J. Hughes, "Commodity Convenience Yields as an Option Profit," Journal of Futures Markets, 10 (1990), 519-533.
  39. Kaldor, N., "Speculation and Economic Stability," Review of Economic Studies, 7 (1939), 1-27.
  40. Pirrong, S.C. "Price Dynamics and Derivatives Prices for Continuously Produced Commodities," Washington University Working Paper, (1998)
  41. Routledge, B., D. J. Seppi, and C. S. Spatt, "Equilibrium Forward Curves for Commodities," Working Paper, Carnegie Mellon University, (1998). <Download>
  42. Williams, J., and B. Wright, Storage and Commodity Markets, Cambridge, England: Cambridge University Press, 1991.
  43. Working, H., "The Theory of the Price of Storage," American Economic Review, 39 (1949), 1254-1262.
  44. Working, H., "Theory of the Inverse Carrying Charge in Futures Markets," Journal of Farm Economics, 30 (1948), 1-28.
  45. Wright, B., and J. Williams, "A Theory of Negative Prices for Storage," Journal of Futures Markets, 9 (1989), 1-13.

    46.  

    Real Options

  46. Brennan, M.J. and E.S. Schwartz, "Evaluating Natural Resource Investments," Journal of Business, 58 (1985), 135-157 .
  47. Caplin, A. and J.V. Leahy, "Aggregation and Optimization with State-Dependent Pricing," Econometrica, 65, (May 1997), 601-625.
  48. Hoover, S.A. and F.P. Sterbernz, "Exhaustible Resource mining is the Exercise of a Call Options: An Equilibrium Approach," University of Wyoming Working Paper, (November 1998)
  49. Kogan, L., "Asset Prices and Irreversible Real Investment," M.I.T. Working Paper, (January 1999)
  50. Leahy, J.V., Investing in Competitive Equilibrium: The Optimality of Myopic Behavior, Quarterly Journal of Economics, 108 (November 1993), 1105-1133.
  51. Litzenberger, R., and N. Rabinowitz, "Backwardation in Oil Futures Markets: Theory and Empirical Evidence," Journal of Finance, 50 (December 1995), 1517-1545.
  52. Moel, A. and P Tufano, "When are Real Options Exercised? An Empirical Study of Mine Closings," Harvard Working Paper (August 1998).
  53. Slade, M.E., "Managing Projects Flexibly: An Application of Real-Options Theory," University of British Columbia, Working Paper (February 1998).
  54. Smith, J.E. and K.F. McCardle, "Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments," Duke Working Paper (19??).
  55. Smith, J.E. and K.F. McCardle, "Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches," Duke Working Paper (19??).

    56. Electricity

  56. Bessembinder, H. and M.L. Lemmon, "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Arizona State University, Working Paper, (January 1999)
  57. Jaillet, P., E. Ronn, and S. Tompaidis, "Valuation of Commodity-Based 'Swing' Options," working paper (1997), University of Texas at Austin.
  58. Edyeland, A. and H. Geman, "Pricing Power Derivatives," Risk, 11 (October 1998).
  59. FERC, "Staff Report to the Federal Energy Regulatory Commission on the Causes of the Wholesale Electric Pricing Abnormalities in the Midwest During June 1998," Office of the Chief Accountant, Office of Economic Policy, Office of Electric Power Regulation and Office of the General Counsel (September 1998). <Download>
  60. Kaminski, V., "The Challenge of Pricing and Risk Managing Electricity Derivatives," chapter 10 in The US Power Market, 149-171, London: Risk Publications, 1997.
  61. Newbery, D.M., "Competition, Contracts and Entry n the Electricity Spot Market," Rand Journal, 29 (Winter 1998), 726-749.
  62. Routledge, B., D. J. Seppi, and C. S. Spatt, " The spark spread: An equilibrium model of cross-commodity price relationships in electricity," Working Paper, Carnegie Mellon University, (1998). <Download>
  63. Wolfram, C.D., "Strategic Bidding in a Multiunit Auction: An Empirical Analysis of Bids to Supply Electricity in England and Wales," Rand Journal, 29 (Winter 1998), 703-725.

    64. The Design of Commodities Markets

  64. Managing Energy Price Risk, London: Risk Publications, 1995 – Chapters 9 – 11 on Oil, Gas, Electricity Markets

    65. More on Manipulation stuff and regulation / design??

    Multi-Commodities and Market Completeness

    To be added

    Information and Strategic

  65. Hong, H. "A Model of Returns and Trading in Futures Markets," Working Paper, Stanford, (1998).
  66. Allaz, B. and J.L. Villa, Cournot Competition, Forward Markets and Efficiency, Journal of Economic Theory, 59 (1993) 1-16.