Readings and resources

Read first

1. Hull, Options, Futures, and Other Derivatives, 11th ed. (Pearson, 2021): the chapter on determination of forward and futures prices (commodity futures, storage costs, convenience yield) and the chapter on futures options and Black's model.
2. Pindyck, R. S. (2001), "The Dynamics of Commodity Spot and Futures Markets: A Primer", The Energy Journal 22(3), 1–29. The clearest short treatment of storage, convenience yield and volatility.
3. This module's 10.10 for MCX contract mechanics, read with the MCX product pages (https://www.mcxindia.com/products).
4. CME Group Education (https://www.cmegroup.com/education): free courses on crude oil and metals futures.

Theory of storage and roll yield (depth)

• Kaldor, N. (1939), "Speculation and Economic Stability", Review of Economic Studies 7(1), 1–27.
• Working, H. (1949), "The Theory of Price of Storage", American Economic Review 39(6), 1254–1262.
• Brennan, M. J. (1958), "The Supply of Storage", American Economic Review 48(1), 50–72.
• Williams, J. C. and B. D. Wright (1991), Storage and Commodity Markets, Cambridge University Press.
• Deaton, A. and G. Laroque (1992), "On the Behaviour of Commodity Prices", Review of Economic Studies 59(1), 1–23.
• Fama, E. F. and K. R. French (1987), "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage", Journal of Business 60(1), 55–73.
• Gorton, G. and K. G. Rouwenhorst (2006), "Facts and Fantasies about Commodity Futures", Financial Analysts Journal 62(2), 47–68.
• Erb, C. B. and C. R. Harvey (2006), "The Strategic and Tactical Value of Commodity Futures", Financial Analysts Journal 62(2), 69–97.
• Gorton, G., F. Hayashi and K. G. Rouwenhorst (2013), "The Fundamentals of Commodity Futures Returns", Review of Finance 17(1), 35–105.
• Geman, H. (2005), Commodities and Commodity Derivatives, Wiley.

Exhaustible resources and gold

• Hotelling, H. (1931), "The Economics of Exhaustible Resources", Journal of Political Economy 39(2), 137–175.
• Krautkraemer, J. A. (1998), "Nonrenewable Resource Scarcity", Journal of Economic Literature 36(4), 2065–2107.
• Barsky, R. B. and L. H. Summers (1988), "Gibson's Paradox and the Gold Standard", Journal of Political Economy 96(3), 528–550.
• Erb, C. B. and C. R. Harvey (2013), "The Golden Dilemma", Financial Analysts Journal 69(4), 10–42.
• WGC: GRAM (https://www.gold.org/goldhub/tools/gold-return-attribution-model); Gold Demand Trends Q3 2026 (https://www.gold.org/goldhub/research/gold-demand-trends/gold-demand-trends-q3-2026); Goldhub data (https://www.gold.org/goldhub/data).
• Silver Institute, World Silver Survey 2026 (https://www.silverinstitute.org/).

Oil

• Kilian, L. (2009), "Not All Oil Price Shocks Are Alike", American Economic Review 99(3), 1053–1069.
• Yergin, D., The Prize (history); Blas, J. and J. Farchy, The World for Sale (commodity traders).
• EIA Weekly Petroleum Status Report (https://www.eia.gov/petroleum/supply/weekly/); EIA STEO (https://www.eia.gov/outlooks/steo/); OPEC press releases (https://www.opec.org); IEA 2026 stock release (https://www.iea.org/news/iea-member-countries-to-carry-out-largest-ever-oil-stock-release-amid-market-disruptions-from-middle-east-conflict/); PPAC (https://ppac.gov.in).

Time series for 10.7

• Dickey, D. A. and W. A. Fuller (1979), "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", JASA 74(366), 427–431.
• Hamilton, J. D. (1994), Time Series Analysis, Princeton, chapter 17.
• Chan, E., Algorithmic Trading (Wiley, 2013), chapter 2: ADF, Hurst exponent, half-life.

Indian sources MCX products (https://www.mcxindia.com/products); CBIC customs notifications for tariff values (https://www.cbic.gov.in); RBI Monetary Policy Report and Bulletin (https://www.rbi.org.in); AMFI monthly data for ETF flows (https://www.amfiindia.com); NPTEL Commodity Derivatives and Risk Management (via SWAYAM).

Order Hull and Pindyck first, then 10.10 with the MCX product pages, then Gorton–Rouwenhorst and Erb–Harvey (2006) for roll yield, then Gorton–Hayashi–Rouwenhorst for the inventory evidence, then Barsky–Summers and Erb–Harvey (2013) for gold. Williams–Wright and Deaton–Laroque are for depth.