Hedging with futures contracts in the Brazilian soybean complex: : BM&F vs. CBOT

Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts

The Brazilian Soybean Complex

The rise of the Brazilian soybean complex simultaneously tells two important stories. The first story is the classic rise of an industry due to natural resource abundance (the Cerrado) and strategic investments in agricultural technology (low-latitude soybeans). Brazil is now the second leading producer of the fastest growing broad-acre crop in the world, has unparalleled arable land reserves, ...

Supply Contracts with Financial Hedging

We study the performance of a stylized supply chain where two firms, a retailer and a producer, compete in a Stackelberg game. The retailer purchases a single product from the producer and afterward sells it in the retail market at a stochastic clearance price. The retailer, however, is budget constrained and is therefore limited in the number of units that he may purchase from the producer. We...

On a class of optimization problems emerging when hedging with short term futures contracts

This paper generalizes earlier work by G. Larcher and the author about hedging with short-term futures contracts, a problem which was considered in connection with the debacle of the German company Metallgesellschaft. While the original problem corresponded to the simplest possible model for the price process, i.e. Brownian motion, we give here solutions to more general models, i.e. a mean reve...

Mean-variance hedging with oil futures

We analyze mean-variance-optimal dynamic hedging strategies in oil futures for oil producers and consumers. In a model for the oil spot and futures market with Gaussian convenience yield curves and a stochastic market price of risk, we find analytical solutions for the optimal trading strategies. An implementation of our strategies in an out-of-sample test on market data shows that the hedging ...