Annually between 1994 and 1998 over 400,000 acres of grain sorghum have been harvested in Missouri with an average yield of 86/bushels/acre. The average value of production during this period was over $90 million. Grain sorghum (milo) is an important crop for some Missouri producers. Many sorghum producers also produce corn, soybean, or wheat. Each of these commodities has an actively traded fu...

The paper aims to investigate the real e ects of nancialization of commodities markets. We document that nancialization took a form of investment in short-term futures contracts that require regular replacement. Thus, nancialization exposes the nancial market to the stream of demand shocks, associated with replacement activity. If arbitrage is limited by risk aversion of nancial traders, the sh...

We present analytical approximation formulæ for the price of interest rate futures contracts derived from the yield curve dynamics prescribed by a Libor market model allowing for an implied volatility skew generated by displaced diffusion equations. The derivation of the formulæ by the aid of Itô-Taylor expansions and heuristic truncations and transformations is shown, and the results are teste...

The reorganization of electricity industry in Spain has finished a new step with the start-up of the Derivatives Market. Nowadays, all electricity transactions in Spain and Portugal are managed jointly through the MIBEL by the Day-Ahead Market Operator and the Derivatives Market Operator. This new framework requires important changes in the short-term optimization strategies of the Generation C...

This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock’s idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised vol...

This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula differs from Black’s futures option pricing formula due to the effects of m...

We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...

Preliminary draft Not for attribution Comments welcome Current drafts of this paper and the associated computer programs and data will be posted to my web site: All errors are my own responsibility. Abstract / Summary The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altere...