{"id":"W4308967276","doi":"10.1007/s10479-022-05059-7","title":"Co-movements, option pricing and risk management: an application to WTI versus Brent spread options","year":2022,"lang":"en","type":"article","venue":"Annals of Operations Research","topic":"Financial Risk and Volatility Modeling","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Carleton University","funders":"Università della Calabria","keywords":"Econometrics; Greeks; Portfolio; Skewness; Volatility (finance); Bivariate analysis; Risk management; Economics; Project portfolio management; Probability distribution; Value at risk; Financial economics; Mathematics; Finance; Statistics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002257897,0.00007333833,0.0001449475,0.000542912,0.0009967061,0.00008982055,0.0002102419,0.00002845396,0.0001045948],"category_scores_gemma":[0.00009206678,0.0000966387,0.00003473109,0.0005670775,0.0000402759,0.0002856543,0.0001556941,0.0002149599,0.00005558151],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00006930373,"about_ca_system_score_gemma":0.00002032378,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002532175,"about_ca_topic_score_gemma":0.0002592711,"domain_scores_codex":[0.9987484,0.00008867166,0.0004001584,0.0003718844,0.0001451718,0.0002457132],"domain_scores_gemma":[0.9993263,0.00004183351,0.0000540656,0.0003623605,0.0001278006,0.0000876651],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001836808,0.000502044,0.01057622,0.00003625228,0.00007318085,7.795618e-7,0.002136174,0.1991469,0.0002580761,0.7487607,0.0005545068,0.03777145],"study_design_scores_gemma":[0.001516323,0.001579623,0.08437115,0.00002368675,0.00001255113,9.988161e-7,0.003263945,0.7981941,0.0007589991,0.02546743,0.08433188,0.0004793434],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9494358,0.0007274952,0.04387105,0.0006271611,0.00007633955,0.0007941188,0.0003935653,0.00001729752,0.004057187],"genre_scores_gemma":[0.9940239,0.002222338,0.002793768,0.00004790379,0.00003983702,0.0003695888,0.0001258789,0.00001271174,0.000364035],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.7232933,"threshold_uncertainty_score":0.7665958,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.2167111735052145,"score_gpt":0.4161815221963409,"score_spread":0.1994703486911264,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}