Price discovery
Index publishers’ woes endanger market transparency
Price reporting agencies are an integral part of modern commodity markets
Asian basket spreads and other exotic averaging options
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average…
US gas market challenges
A new report from the investigative office of the Federal Energy Regulatory Commission finds that competitive natural gas markets in the US are robust, but warns of challenges ahead. Kevin Foster reports