Using daily data from 182 spatially separated U.S. cash markets for the years 2006-2011, I investigate price discovery for corn. With a large number of cash markets available, I take into account explicitly the issue of market selection, which has been neglected in previous work. I find that empirical results concerning price discovery based on corn cash and futures markets vary with selection ...

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The fact that futures contracts can be viewed as derivative instruments on the forward rate is used to d...

The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of op...

Organized trading for electricity includes both the pool and the futures market. Pool prices are volatile while the prices of the futures-market products are comparatively more stable. Thus, futures-market products constitute hedging instruments to reduce the risk suffered by any market agent. Electricity market agents engage in both pool and futures market transactions seeking to maximize thei...

Our results find that futures contracts with different maturities for emissions allowances exhibit a significant cointegration relationship by using two-step EG model, similar market information has a convergent effect on prices spreads of futures contracts with different maturities. Convenience yields implied from the futures markets exhibit a significant options property. Convenience yields a...

This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to outliers than previous research appears to have recognized. I find some statistically significant evide...

Simulations and games are widely accepted as a powerful mode of teaching and learning. This is especially so in the field of finance in teaching students the intricacies of stock market trading. Stock market simulations complement more traditional methods of teaching finance by encouraging learning by doing, by generating motivation and enjoyment, and by engaging the business student in a simul...

This study presents an application of stochastic model for limit order book (LOB) dynamics to Korean Stock Index Futures (KOSPI 200 Futures). Since KOSPI 200 futures market is widely known as one of the most liquid markets in the world, direct application of an existing model is hardly possible. Therefore, we modified an existing model to successfully model and predict the dynamics of extremely...

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...

A. Mohammadi, M. R. Baneshi 3 , T. Khalili 1,* Department of Clinical Biochemistry, Afzalipour School of Medicine, Kerman University of Medical Sciences, Kerman, Iran. Physiology Research center, Kerman University of Medical Sciences, Kerman, Iran. Modeling in Health Research Center, Institute for Futures Studies in Health, Department of Biostatistics and Epidemiology, School of Public Health, ...