We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating the...

The South African Futures Exchange (SAFEX) implemented anonymous trading on all their futures contracts on 26 May 2009. The impact of market design on market liquidity is still not well understood. Some markets, e.g. Hong Kong Stock Exchange, disclose broker mnemonics whereas in other markets,...

This study revisits the debate over whether a bias exists in new crop December corn and November soybeans futures and option prices. Some evidence of bias is found in December corn futures and December corn puts, but the evidence is substantially muted when transaction costs are taken into...

We investigate the suitability of securitization as an alternative to reinsurance for the purpose of transferring natural catastrophe risk. We characterize the conditions under which one or the other form of risk transfer dominates using a setting in which reinsurers and traders in financial...