Commodity Forwards and Futures推荐.pdfVIP

6 Commodity Forwards and Futures olstoy observed that happy families are all alike; each unhappy family is unhappy in its T own way. An analogous idea in financial markets is that financial forwards are all alike; each commodity, however, has unique economic characteristics that determine forward pricing in that market. In this chapter we will see the extent to which commodity forwards on different assets differ from each other, and also how they differ from financial forwards and futures. We first discuss the pricing of commodity contracts, and then examine specific contracts, including gold, corn, natural gas, and oil. Finally, we discuss hedging. You might wonder about the definition of a commodity. Gerard Debreu, who won the Nobel Prize in economics, said this (Debreu, 1959, p. 28): A commodity is characterized by its physical properties, the date at which it will be available, and the location at which it will be available. The price of a commodity is the amount which has to be paid now for the (future) availability of one unit of that commodity. Notice that with this definition, corn in July and corn in September, for example, are different commodities: They are available on different dates. With a financial asset, such as a stock, we think of the stock as being fundamentally the same asset over time.1 The same is not necessarily true of a commodity, since it can be costly or impossible to transform a commodity on one date into a commodity on another date. This observation will be important. In our discussion of forward pricing for financial assets we relied heavily on the fact that the price of a fin