14 citations · 14 across the 1 of their papers we have counts for
2 papers
q-fin.MF2015
On the spot-futures no-arbitrage relations in commodity markets
René Aïd, Luciano Campi, Delphine Lautier
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…
q-fin.ST2010★ 14 cited
Statistical properties of derivatives: a journey in term structures
Delphine Lautier, Franck Raynaud
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily retu…