This article investigates the optimal crop planting schedule and hedging strategy in the mean return versus CVaR risk framework. Crop insurances and futures contracts are available for hedging against yield and price risks. The impact of the ENSO-based climate forecast on the optimal production and hedging decision is examined. Gaussian copula is applied in simulating the scenarios of correlate...

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a time-frequency-scale approach (discrete and continuous), between electricity spot and futures. Simpler app...

It is only an order quantity which is decided for a spot selling time in the classical newsboy problem. Both the purchase timing and the time-variant variance of the demand are neglected. When the vendor gives a price discount for early purchase, the buyer purchases the quantities of price discount at the cost of forecast bias. The buyer has to forecast the demand early before purchase ahead of...

The price of crude oil in the U.S. never exceeded $40 per barrel until mid-2004. By 2006 it reached $70, and in July 2008 it peaked at $145. By late 2008 it had plummeted to about $30 before increasing to $110 in 2011. Are speculators at least partly to blame for these sharp price changes? We clarify the effects of speculators on commodity prices. We focus on crude oil, but our approach can be ...

Futures offer a convenient abstraction for encapsulating delayed computation. It is a mechanism to introduce concurrency through a rewrite of the sequential program. However, managing futures is tedious and requires knowledge of concurrency and its concerns. The notion of transparent futures is used to hide the complexity of futures from developers. A number of techniques based on transparency ...

The presale contract is a popular property selling method that allows a buyer to default on the remaining payment and/or a developer to abandon a project. Using a simple two-period game theoretical model, we derive a closed-form pricing equation for a presale contract that explicitly accounts for a developer’s abandonment option and a buyer’s default option. Although a developer has an abandonm...

Background: Scenario is the primary method in futures studies, and thus its improper use can undermine the credibility and claims of the results. There are many scenario types, and here we aimed at understanding whether these scenarios are being used properly in the health field.    Methods: In this study, a combination method was used in 3 phases, and 8 + 2 steps were considered to ...

Owning a seat is what enables locals to trade in futures markets. Seats are usually assigned by the Clearinghouse but can be successively traded among locals by paying officially quoted prices. This paper develops a pricing model for seats in futures markets. The existing literature on the argument is extended by introducing the new hypothesis that the number of contract traded since the seat’s...

This paper develops a dynamic, equilibrium model of a futures market to study optimal hedging and the term structure of open interest and futures prices. Investors continuously face spot price risk over time and attempt to hedge this risk using futures. Convenience yield shocks generate basis risk to rolling over near-to-maturity futures. Hence, investors need to simultaneously trade far-from-m...