Commodities

 

CLOUDRISK offers a comprehensive set of pricing and risk management capabilities across the full spectrum of commodity asset classes. Ranging from energy and metals across environmental to agricultural commodities, we deliver integrated pricing analytics for physical and financial derivatives, and create customized models to meet our clients’ most complex challenges. Our commodity related services is greatly enhanced from an in-house build comprehensive library of market-standard commodity models and related numerical methods.

Supported Products

  • Commodity underlyings
    • Agricultural commodities
    • Oil
    • Metals
    • Natural gas
  • Options, Swaps and Futures
    • Asian, American and European commodity options
    • Best-of/worst-of-N asset basket option
    • Best-of/worst-of-N performance basket option
    • Commodity futures
    • Commodity swaps
    • American and European options on commodity futures
  • Notes
    • Commodity-linked note
    • Commodity principal-protected note

Models and Methods

  • Black model
  • One and two-factor spot models, Stochastic convenience yield models: Hilliard-Reis, Gibson-Nielson-Schwartz, Schwartz-Smith, Eydeland-Geman, Collin-Dufresne etc.
  • Heath-Jarrow-Morton (HJM) and related to HJM forward price models
  • Jump-Diffusion, Regime switching and Threshold models: Clewlow-Strickland, Hikspoors-Jaimungal, DeJong-Huisman, Geman-Roncoroni etc.
  • Heston stochastic volatility model
  • Multinomial Tree methods and Monte Carlo methods
  • Estimating seasonality coefficients from historical data
  • Support of rolling underlying future contracts