Draft a short research note (400-500) words; figures, tables and references excluded) oncommodity derivatives.
Points include an overview of distinguishing featuresof
Oil [WTI Crude]
derivatives pricing (e.g., storage costs, convenience yield, contango andbackwardation)
References
Casassus, Jaime, and Pierre CollinDufresne. “Stochastic convenience yield impliedfrom commodity futures and interest rates.” The Journal of Finance 60, no. 5 (2005):2283-2331.
Litzenberger, Robert H., and Nir Rabinowitz. “Backwardation in oil futures markets:Theory and empirical evidence.” The journal of Finance 50, no. 5 (1995): 1517-1545.
Erb, Claude B., and Campbell R. Harvey. The tactical and strategic value of commodityfutures. No. w11222. National Bureau of Economic Research, 2005.
Trolle, Anders B., and Eduardo S. Schwartz. “Unspanned stochastic volatility and thepricing of commodity derivatives.” The Review of Financial Studies 22, no. 11 (2009):4423-4461.
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