The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We estimated the effect of this ex...

Previous studies have shown that a random-matching model with divisible at money and without constraint on agents' money inventories possesses a continuum of stationary single-price equilibria. Wallace [10] conjectures that the indeterminacy can be eliminated by the use of commodity money. Instead, I nd that in a similar random-matching model with dividend-yielding commodity money, a continuum ...

Unlike derivatives of financial contracts, commodity options exhibit distinct particularities owing to physical aspects of the underlying. An adaptation of no-arbitrage pricing to this kind of derivative turns out to be a stress test, challenging the martingale-based models with diverse technical and technological constraints, with storability and short selling restrictions, and sometimes with ...

Commodity loans are presented as an interpretation of spreads between spot and futures prices in commodity markets. This interpretation suggests an alternative to convenience yield as an explanation for the existence of large positive differences between spot and futures prices that are inconsistent with the usual arbitrage arguments. A model is presented in which an owner of a stock of a commo...

A competitive economy is studied in which sellers o er alternative direct mechanisms to buyers who have private information about their own private use value for the commodity being traded. In addition the commodity has a common value to all buyers, perhaps represented by the future resale value of the commodity. A competitive equilibrium in mechanisms is described. In every such equilibrium it...

    In this paper, a new revenue efficiency data envelopment analysis (RE-DEA) approach is considered for finding the most revenue efficient unit with price uncertainty in both optimistic and pessimistic perspectives. The optimistic and pessimistic perspectives use efficient frontier and inefficient frontier, respectively. An integrated model is introduced to find decision making units (DMUs) t...

We give several new upper and lower bounds on the worst-case severity of Braess’s paradox and the price of anarchy of selfish routing with respect to the maximum latency objective. In single-commodity networks with arbitrary continuous and nondecreasing latency functions, we prove that this worst-case price of anarchy is exactly n − 1, where n is the number of network vertices. For Braess’s par...

Planning and design procedure of an open pit mining project just can be started after ultimate pit determination. In the carried out study in this paper it was shown that the most important factor in ultimate pit determination and in consequence in the whole planning and design procedure of an open pit mine is the metal price. Metal price fluctuations in recent years were exaggerated and impose...