Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=50212#.VDIIo1fHRK0 Author(s) R. Abbate Affiliation(s) Financial Engineering & Quantitative Analysis, SunGard, New York, United States . ABSTRACT The global financial crisis of 2007-2008 caused market practitioners to reassess the way in which financial derivative contracts had been priced during the preceding thirty years. The purpose of this paper is to examine the evolving practice of pricing and hedging commodity derivative contracts according to the terms of the Credit Support Annex (CSA). Using a series of case studies, we price crude oil swaps and Asian options in the pre-crisis, peak-crisis, post-crisis and recent market environ...
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