The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of op...

Starting from November 20, 1998, Hong Kong Futures Exchange extends its trading hours of Hang Seng Index Futures (HSIF) by opening 15 minutes earlier in the morning session, and closes 15 minutes later in the afternoon session. The longer trading period of the index futures contracts provides an opportunity for investors to trade on any new information in the absence of the underlying spot mark...

In this study, we empirically analyze the contributions of three crude oil-based exchange traded funds (ETFs) and futures contract in hedging oil price risk. order to measure ETFs, estimate usual minimum variance hedge ratios as well quantile based on different methods. We also compute effectiveness ETFs. find that ETFs can be used instruments especially for longer horizons extreme quantiles. H...

Cornelius Holtorf is UNESCO Chair on Heritage Futures at Linnaeus University. He reads prehistoric archaeology, social anthropology and physical in Germany, England Wales. In 1998 he gained his PhD was subsequently employed research teaching the University of Gothenburg (1998-1999), Cambridge (1999-2002), Swedish National Board Stockholm (2002-2004) Lund (2005-2008). Since 2008 have been workin...

Grain futures contracts that permit physical delivery do so through an exchange of instruments. Because instruments can be held indefinitely, extant research shows assign inflexible and low storage rates relative to the market price facilitate basis nonconvergence. In response notable episode nonconvergence in mid- late-2000s, Chicago Mercantile Exchange (CME) Group introduced variable rate (VS...

Rainfall derivatives are in their infancy since starting trading on the Chicago Mercentile Exchange (CME) since 2011. Being a relatively new class of financial instruments there is no generally recognised pricing framework used within the literature. In this paper, we propose a novel framework for pricing contracts using Genetic Programming (GP). Our novel framework requires generating a risk-n...