英文标题：
《On the spot-futures no-arbitrage relations in commodity markets》
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作者：
Ren\\\'e A\\\"id, Luciano Campi, Delphine Lautier
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最新提交年份：
2018
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英文摘要：
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading in the associated futures contracts. In this framework, the relation between the spot and the futures prices holds through the well-posedness of the maximization problem. We show that the futures price can still be seen as the risk-neutral expectation of the spot price at maturity and we propose an explicit formula for the forward volatility. Moreover, we provide an heuristic analysis of the optimal solution for the production/storage/trading problem, in a Markovian setting. This approach is particularly interesting in the case of energy commodities, like electricity: this framework indeed remains suitable for commodities characterized by storability constraints, when standard no-arbitrage arguments cannot be safely applied.
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中文摘要：
在商品市场上，合约到期时，期货价格向现货价格趋同，通常是通过无套利论据来证明的。在本文中，我们提出了一种替代方法，该方法依赖于代理人的预期利润最大化问题，即在相关期货合约中交易时生产和储存商品。在这个框架下，通过最大化问题的适定性，现货和期货价格之间的关系成立。我们证明了期货价格仍然可以被视为到期时现货价格的风险中性预期，并提出了一个明确的远期波动率公式。此外，我们提供了一个启发式分析的最佳解决方案的生产/储存/贸易问题，在马尔可夫设置。在电力等能源商品的情况下，这种方法尤其有趣：当标准的无套利论据无法安全应用时，这种框架确实仍然适用于以可存储性约束为特征的商品。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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