None that would be of any help.  One exists for many metals, gold, platinum, etc., but the economic lives of the metals are measured in the multiple years (5 or more), whereas the tenors of the forward market are more like 12 to 18 months.. 

Precious metals can be used catalyst in many manufacturing processes, with very little losses and most of the metals recovered at later date.

Haha, OK, I can add a branch to my decision tree..

Trying to develop a basic tool to illustrate optimal strategy for leasing or owning precious metals (i.e. doesn't matter which, rhodium, platinum) and thinking of setting up as an N-year project, modeling PMs price is GBM, lease rate is a variable, with reset once per year.  It's an over-simplificat...

<t>QuoteOriginally posted by: cpulmanWhat if Asian central banks decided to offload their Treasuries? Even with the recent changes in pension & insurance fund liability management, a trillion dollars worth of bonds hitting the market could very well push yields back up above 7%...Great point, bu...

There is a good article in the Fall 2006 issue of Journal of Applied Corporate Finance entitled "Hedging and Value in the U.S. Airline Industry" that you may find helpful. Written by David Carter, Daniel Rogers, and Betty Simkins.

<t>If one looks at the Fed's Baa seasoned long bond yield back to 1919, its difficult not to look at the 70s, 80s, and even early 90s, and think "what the hell happened here?" Obviously, the simple answer was rampant and volatile inflation. The period between about 1974 and 1992 is the only period o...

<t>I believe this topic is discussed in Dixit and Pindyck's "Investment Under Uncertainty". Also, Aaron Brown responded to a similar question with this:The type of mean reversion will determine the annualization. If it's simple autocorrelation, that is tendency to the mean is linear in current devia...

<t>Any significance to the fact that the 3 year rolling beta of CL12 (12 month out) crude oil futures contract went negative around August 2004 for the first time of any period in the last 10 years, and has remained negative since? I would assume the same of all the contracts (I know it to be true f...

Stupid question. If we know swaption implied vols from Black's, is there any easy way to convert this into Hull-White vol without fitting Hull-White to market prices, even a general rule of thumb?

<t>You also really need to think about having the doc reviewed by an attorney. ISDA agreements can have cross-default and MAC type language that can really come back to bite you when you least expect it. Get the counterparty's Schedule (the Master won't actually be negotiated, but you will negotiate...

Didn't CIR assume changes in yields were normally distributed and yields themselves are chi-square? It seems to me it is still appropriate to use the assumption of normally distributed changes.

<t>I would probably start by searching these forums for "mean reversion calibration" as I recall seeing many threads dealing with this over the past few years. Dixit and Pindyck also discuss methods in their "Investment Under Uncertainty". I also recall seeing many articles related ot calibrating me...

Thank you!

<t>I have seen 2 ways to calculate the hedge ratio. First, assume we already know beta to be 0.975 from a regression of spot and futures price changes. Next assume we are hedging corn production. Assume a contract size of 10,000 bushels, a futures price of $10.00 per bushel, a spot exposure of 75,00...