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 ...

While the benefits of using futures to manage price risk are widely recognised, only certain groups farmers have suitable at their disposal. This paper discusses an innovative instrument, developed in Belgian-Dutch pear market, that provides alternative markets by creating a market for swaps. Thus, instrument some market-traded derivatives (like futures) while remaining relatively simple which ...

A management framework has been successfully utilized at Imperial College London in the United Kingdom to improve the process for developing and managing university-industry research collaborations. The framework has been part of a systematic approach to increase the level of research contracts from industrial sources, to strengthen the university’s academic base, and to diversify the provision...

We develop a new approach for pricing European-style contingent claims written on the time T spot price of an underlying asset whose volatility is stochastic. Like most of the stochastic volatility literature, we assume continuous dynamics for the price of the underlying asset. In contrast to most of the stochastic volatility literature, we do not directly model the dynamics of the instantaneou...

This article presents a valuation theory of futures contracts and derivatives on such contracts when the underlying delivery value follows a stochastic process containing jumps of random claim sizes at random time points of catastrophe occurrence. Applications of the theory are made on insurance futures and options, new instruments for risk management launched by the Chicago Board of Trade. Sev...