In this paper, we focus on the farmer’s risk income when using commodity futures, price and output processes are randomly correlated represented by jump-diffusion models. We evaluate expected utility of wealth determine optimal consumption rate hedging position at each point in time given harvest timing state variables. find a closed form for positioning case an investor with CARA utility. This...

a r t i c l e i n f o According to empirical studies, speculators place significant orders in commodity markets and may cause bubbles and crashes. This paper develops a cobweb-like commodity market model that takes into account the behavior of technical and fundamental speculators. We show that interactions between consumers, producers and heterogeneous speculators may produce price dynamics wh...

Financial options, namely stock options, are ways in which investors can manage the risk level of their portfolios and control the timing of various cash flows. Because, in most basic terms, this class of derivatives consists of agreements to buy or sell financial assets (here, shares of stock) at a prescribed time in the future, determining their fair market value requires a prediction of the ...

The purpose of this study was to determine whether short-term changes in ambient temperature were associated with daily mortality among persons who lived in Montreal, Canada, and who died in the urban area between 1984 and 2007. We made use of newly developed distributed lag non-linear Poisson models, constrained to a 30 day lag period, and we adjusted for temporal trends and nitrogen dioxide a...

determination of price of lost property is faced with two difficulties: on the one hand, property price is variable from time to time so it is necessary to determine the price of the item in which time must be considered? on the other side question of devaluation of money is raised. whether the agent of the loss is responsible for this or she/he is merely responsible for the value of property i...

Although there have been trout subsidies in Türkiye for many years, the fact that production has below expectations, especially recent led to need investigate effects of subsidies. Thus, present study was conducted estimate long-run relationship among production, producer price, and subsidy Türkiye. The time-series data covering 1984-2016 regarding sales prices, were used. Vector Error Correcti...

In the era of high frequency trading and pervasiveness irregularly spaced trading, we control for time element in Modified Weighted Price Contribution (MWPC) model by Jahanshahloo Spokeviciute (2018). We empirically show that our new modification controls reaction (Speed) market participants to arrival information.