Résumé
We investigate the optimal hedging strategy in a continuous timeframework that is more adequate for commodities. We consider theconsumption-investment problem where all asset prices follow mean-reverting jump-diffusion processes. The optimal investment and con-sumption strategies are derived in closed form. The framework is usedto address one of the major risk factors faced by commodity produc-ers. We show that a commodity producer will be better off hedginghis/her futures contracts by simultaneously investing in foreign ex-change products to minimize the adverse impacts of the jump riskprevalent in commodity prices.