Farm monitoring to futures contracts: The Hannas' experience

Estimating the Value of Delivery Options in Futures Contracts

We analyze the effect various delivery options embedded in commodity futures contracts have on the futures price. The two embedded options considered are the timing and location options. We show that early delivery is always optimal when only a timing option is present, but not so with joint options. The estimates of the combined options are much smaller than the comparable estimates for the ti...

The Relation Between Volatility and Maturity in Futures Contracts

Some students of futures markets believe that the volatility of futures prices increases as the futures contract nears maturity (see Telser, 1956; Segall, 1956; and Samuelson, 1965). Samuelson offers an explanation for the existence of the variability effect as reviewed in Section 1 of the paper. His hypothesis about the behavior of futures prices requires that the stochastic process characteri...

Monitoring Design Pattern Contracts

Design patterns allow system designers to reuse well established solutions to commonly occurring problems. These solutions are usually described informally. While such descriptions are certainly useful, to ensure that designers precisely and unambiguously understand the requirements that must be met when applying a given pattern, we also need formal characterizations of these requirements. Furt...

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

Memory in Returns and Volatilities of Commodity Futures’ Contracts

Various authors claim to have found evidence of stochastic long memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Results based on these new methods provide no evidence...