We address a method for pricing electricity contracts based on valuation of ability to produce power, which is considered as the true underlying for electricity derivatives. This approach shows that an evaluation of free production capacity provides a framework where a change–of–numeraire transformation converts electricity forward market into the common settings of money market modeling. Using...

In this paper we review the hedging of interest rate derivatives priced under a risk-neutral measure, and we compute self-financing hedging strategies for various derivatives using the Clark-Ocone formula.

In this paper we proceed to estimate a measure of the flow-through capability of the firms listed in the Spanish Stock Exchange. The flow-through capability is defined as the ability of firms to transmit inflation shocks to the prices of the products and services sold by the company. According to a strand of literature, this flow-through capability can explain, to some extent, the so called “st...

Long-term bonds are exposed to higher interest-rate risk, or duration, than short-term bonds. Conventional interest-rate risk management prescribes that a firm structure the maturity of its liabilities in order to hedge the duration of its long-term assets (?). By doing so, the firm’s assets and liabilities move in lockstep, and its net equity is shielded from (at least small) movements in inte...

The bank interest rate is one of the most important macroeconomic variable in each country economic. The purpose of this paper is find the relationship between the facility interest rate and three main variable of the money market.In Iran. this issue for equations the interest rate facility, the interest rate of deposit, inflation and credit risk utilizing the model simultaneous equation system...

The relationship between socio-economic heterogeneity and distributional implications of community-based resource management is becoming a growing concern in issues of local level collective action. This study tries to examine the contested role of heterogeneity and equity of resource distribution in community-based property rights regimes in reference to community-based forest management in Ne...

Interest rate liberalization, which will have a multi-impact on the economy in process of marketization, especially macro-debt market, is requirement to develop market economy. It current important economic topic that risk control related healthy degree de-velopment after debt financing leverage turns assets investment, and study around these contents should be cause for concern. As an componen...