Commodity | EPFL Graph Search

In economics, a commodity is an economic good, usually a resource, that has full or substantial fungibility: that is, the market treats instances of the good as equivalent or nearly so with no regard to who produced them. The price of a commodity good is typically determined as a function of its market as a whole: well-established physical commodities have actively traded spot and derivative markets. The wide availability of commodities typically leads to smaller profit margins and diminishes the importance of factors (such as brand name) other than price. Most commodities are raw materials, basic resources, agricultural, or mining products, such as iron ore, sugar, or grains like rice and wheat. Commodities can also be mass-produced unspecialized products such as chemicals and computer memory. Popular commodities include crude oil, corn, and gold. Other definitions of commodity include something useful or valued and an alternative term for an economic good or service available

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston (1993), we assess the error distribution by computing its moments under the real-world probability measure. It turns out that one is better off implementing either a delta hedging or a variance-minimizing strategy, depending on the strike and maturity of the option under consideration. In the second paper, which is a joint work with Damir Filipovic and Loriano Mancini, we develop a practicable continuous-time dynamic arbitrage-free model for the pricing of European contingent claims. Using the framework introduced by Carmona and Nadtochiy (2011, 2012), the stock price is modeled as a semi-martingale process and, at each time t , the marginal distribution of the European option prices is coded by an auxiliary process that starts at t and follows an exponential additive process. The jump intensity that characterizes these auxiliary processes is then set in motion by means of stochastic dynamics of Itô's type. The model is a modification of the one proposed by Carmona and Nadtochiy, as only finitely many jump sizes are assumed. This crucial assumption implies that the jump intensities are taken values in only a finitedimensional space. In this setup, explicit necessary and sufficient consistency conditions that guarantee the absence of arbitrage are provided. A practicable dynamic model verifying them is proposed and estimated, using options on the S&P 500. Finally, the hedging of variance swap contracts is considered. It is shown that under certain conditions, a variance-minimizing hedging portfolio gives lower hedging errors on average, compared to a model-free hedging strategy. In the third and last chapter, which is a joint work with Rémy Praz, we concentrate on the commodity markets and try to understand the impact of financiers on the hedging decisions. We look at the changes in the spot price, variance, production and hedging choices of both producers and financiers, when the mass of financiers in the economy increases. We develop an equilibrium model of commodity spot and futures markets in which commodity production, consumption, and speculation are endogenously determined. Financiers facilitate hedging by the commodity suppliers. The entry of new financiers thus increases the supply of the commodity and decreases the expected spot prices, to the benefits of the end-users. However, this entry may be detrimental to the producers, as they do not internalize the price reduction due to greater aggregate supply. In the presence of asymmetric information, speculation on the futures market serves as a learning device. The futures price and open interest reveal different pieces of private information regarding the supply and demand side of the spot market, respectively. When the accuracy of private information is low, the entry of new financiers makes both production and spot prices more volatile. The entry of new financiers typically increases the correlation between financial and commodity markets.

EPFL2014

Cold Atmospheric Plasma Inactivation of Microbial Spores Compared on Reference Surfaces and Powder Particles

Alan Howling, David Martinet

Heat-resistant spores on a dry, heat- and water-sensitive food matrix are difficult to inactivate. Radioactive or X-ray exposure is allowed and accepted only for some selected commodities. Non-thermal atmospheric pressure plasma treatments could offer an efficient, fast, and chemical-free solution. The effectiveness of direct contact cold atmospheric plasma (CAP) generated by a dielectric barrier discharge (DBD) device and air as process gas was evaluated against spores of Bacillus spp., Geobacillus spp., and Penicillium spp. A maximum of 3 log(10) cycles of inactivation was achieved for B. coagulans spores exposed for only 10 s at low surface energy of 0.18 W/cm(2) determined directly at the electrodes. This corresponds to an initial decimal reduction time of D-1 = 0.1 min. Spores of B. subtilis are the most resistant amongst the studied strains (D-1 = 1.4 min). The determining parameter in the modeling of the inactivation curve is surface energy. Non-porous, native starch granules or shells from diatoms, a highly porous material, were also contaminated with spores and treated by DBD CAP. The inactivation level was significantly reduced by the presence of powders. Considering plasma diagnostics, it can be concluded that the spore shell is the primary and main target for a plasma-induced inactivation. The inactivation affect scales with surface energy and can be controlled directly via process time and/or discharge power.

SPRINGER2020

Supply Chain Management in Process Industries: Empirical Investigations for Commodity Markets

Philipp Urs Moser

Process industries (PI) have thrived in recent decades, but structural changes in the markets are currently putting both growth and profitability at risk. In a period of tumbling prices, supply chain management (SCM) is increasingly viewed as an essential lever for creating a sustainable competitive advantage. In PI supply chain related costs are, as a percentage of sales, on average more than twice as high as in consumer industries. Despite the interest in improving their supply chain function, many firms in these sectors struggle to implement best practices because of industry-specific constraints. Historically, the majority of SCM frameworks has been based on consumer industries and often does not take into account the context of PI. The objective of this dissertation is to close this gap and give practitioners guidance on their supply chain transformations: . What are the predominant characteristics of PI that impact the SCM environment? . How can the particular market environment of PI be translated into an adequate supply chain strategy? . In PI, what are the operational implications of investment decisions related to strategic asset development? Chapter 2 explores how industry specific properties drive inventory which is a powerful way to improve profitability. An inventory reduction of 10% in the primary metal sector would, ceteris paribus, increase the return on assets by 78% . Our empirical results show that factors such as capital intensity and transportation costs have a particularly strong impact on the supply chains in PI. This illustrates that SCM in PI is subject to - and follows - different dynamics than other sectors. Chapter 3 demonstrates why PI need different approaches than consumer industries when it comes to strategic SCM. More specifically, we identify four market archetypes that shape the SCM strategy of companies. Based on 24 in-depth interviews with supply chain managers and a survey of 477 respondents, the chapter investigates the positive effects on performance of companies that adopt a supply chain strategy characterized by the market archetypes. This strategic alignment is still lagging behind in PI, since only 32% of the surveyed companies have a supply chain that best reflects their business environment, which is about 40% lower than in consumer industries and indicates the enormous improvement potential that SCM holds for PI. The chapter concludes with two recommendations for managers in process industries seeking to successfully transform their supply chains. Chapter 4 looks at the impact of such transformative decisions in PI. In commoditized sectors, manufacturing is a core competency, and the related fixed assets are crucially important in securing a company's market position. But the required investments are particularly high, imposing fixed costs and implying operational constraints. Our empirical models show that companies follow with their investments the market prices, trading off volume flexibility and asset development. We present evidence that when we combine these two operational implications and examine their impact on the stock market valuation, the long-term effect on asset development overshadows the short-term impact on volume flexibility. This illustrates a potential conflict of interests as managers are incentivized to over proportionally increase/reduce investments into fixed assets in times of increasing/decreasing market prices to boost the share price in the short-term.