Benjamin Cheng

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

PhD Student

Sydney

Australia

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

SCHOLARLY PAPERS

4

DOWNLOADS

710

TOTAL CITATIONS

7

Scholarly Papers (4)

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1.

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives

FIRN Research Paper
Number of pages: 24 Posted: 20 Sep 2016
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 227 (290,107)
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
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 175 (369,478)
Citation 3

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
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 166 (387,005)
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
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlögl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and The University of Technology Sydney - School of Mathematical and Physical Sciences
Downloads 142 (440,932)
Citation 2

Abstract:

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