Arbitrage models of commodity prices are relative pricing devices. They allow to evaluate commodity-linked securities in terms of quoted commodity prices or indices. Model selection mainly depends on the level of development characterizing the market under consideration. For instance, oil markets are rather mature; they provide traders with a large quantity of reliable quotes for futures as well as vanilla options; these prices may thus be considered as model primitives from which prices of more complex positions can be derived. On the contrary, several electricity markets quote spot prices only, which are to be taken as primitives for valuation purposes. We consider four major classes of commodity price models. Long-term investments in natural resources can be interpreted as real (vs. nancial) options written on the value of the corresponding commodity price(s). This viewpoint leads to the key notion of Net Convenience Revenue (NCR) de ned as the net sum of all bene ts (e.g., saved costs of shortage, consumption value) and costs (e.g., storage expenses, replacement costs for perishable goods) stemming from physically holding a storable asset over a time period (Brennan (1991)). For the purpose of pricing forward contracts, which represent the simplest class of commodity derivatives, NCR must be computed net of the risk-free rate of interest on the currency of denomination, which in turn represents the purely nancial cost of funding the operation. This results into a quantity referred to as the Cost of Carry (CoC). The underlying argument goes as follows. We consider an evaluation time t for a forward contract delivering a single unit of a commodity S at a future time T for a price x (t). It is assumed that holding the asset leads to an overall bene t B and bears a total cost C, both quantities expressed in units of currency at time T . A short forward position at time t leads to a time T pay-o¤ equal to S (T )+x (t). This cash ow can be hedged by borrowing the present value of delivery price x (t), then buying the underlying asset, and nally o¤setting the resulting net bene t B C using the proceeds from borrowing funds equal to the present value of that amount. Table 1 illustrates the resulting replicating strategy , which is commonly referred to as Cash-and-Carry. There, Vf denotes the forward contract value and r is the continuously compounded short rate of interest, which we assume to be constant over time. The net cash ow V (T ) of this trading strategy at delivery is zero. Barring arbitrage opportunities, the time t value V (t) of the resulting position is zero as well. This fact leads to a formula for commodity forward value Vf :