Benjamin Cheng

University of Technology Sydney (UTS), UTS Business School, Students

PhD Student

Sydney

Australia

SCHOLARLY PAPERS

4

DOWNLOADS

399

SSRN CITATIONS

1

CROSSREF CITATIONS

6

Scholarly Papers (4)

1.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 132 (244,107)
Citation 1

Abstract:

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Stochastic interest rates, Delta hedge, Interest rate hedge, Long-dated crude oil options

2.

Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 30 Posted: 08 Jan 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 102 (294,077)
Citation 4

Abstract:

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Futures options, Stochastic interest rates, Stochastic volatility, Correlations, Long-dated commodity derivatives

3.

Hedging Futures Options with Stochastic Interest Rates

Number of pages: 27 Posted: 20 Sep 2016
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 85 (330,306)
Citation 1

Abstract:

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Futures options, Stochastic interest rates, Delta hedging, Interest rate hedging

4.

Pricing of Long-Dated Commodity Derivatives: Do Stochastic Interest Rates Matter?

Journal of Banking and Finance, Vol. 95, 2018
Number of pages: 38 Posted: 25 Jan 2016 Last Revised: 09 Nov 2020
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 80 (342,406)
Citation 2

Abstract:

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Futures options pricing, Stochastic interest rates, Correlations, Long-dated crude oil derivatives, commodity futures