This paper develops formulas for pricing caps and swaptions in LIBOR market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (1999) in a framework allowing for very general jump processes. For computational purposes, it is convenient...

<section xml:id="fut21642-sec-0001"> I investigate how local supply shocks in the globally distributed production of commodities are incorporated into Chicago Mercantile Exchange (CME) futures prices. I exploit that the soybean market share of the United States (Argentina) decreased (increased) between 1996 and 2010, and use rain,...</section>

We study the hedging and valuation of generalized variance swaps de¯ned on a forward swap interest rate. Our motivation is the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is...

The mechanism of aggregation of various sources of fundamental information into a single price is a central question in asset pricing. In this paper I investigate how information about local supply shocks in the globally distributed production of commodities is incorporated into the prices of...

I study the impact of commodity production concentration on the occurrence of extreme commodity returns. I explore this issue in a sample of 22 agricultural, mineral and energy commodities of global scope that are liquidly traded through futures at the most important exchanges. I find that...

We develop an efficient Monte Carlo method for the valuation of a financial contract with payoff dependent on discretely realized variance. We assume a general model in which asset returns are random shocks modulated by a stochastic volatility process. Realized variance is the sum of squared...

I investigate how local supply shocks in the globally distributed production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a...

In the last twenty years a large number of competitive ethanol firms have established operations in the US. Ethanol, produced from corn, is blended with pure gasoline to produce fuel. Producers hold an option to turn off unprofitable plants. Blenders choose to substitute ethanol for gasoline at...

We study the hedging and valuation of variance swaps defined on a swap interest rate. Our motivation is the recognition of the fundamental role of variance swaps in the transfer of variance risk, and the extensive empirical evidence documenting that the variance realized by interest rates is...

Plant-based meat is an innovative and sustainable type of food that has been received with enthusiasm by consumers and investors. It is also a threat for the demand of traditional meat and for those crops used primarily as animal feed. In 2019, 59% of global corn and 83% of global soybean...