We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own account, but others decide to delegate trading to...

We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...

In this paper we investigate price and volatility risk originating in link- ages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...

Banking systems are fragile not only within one country but also within and across regions. We study the role of regional banking system characteristics for regional banking system fragility. We find that regional banking system fragility reduces when banks in the region jointly hold more liquid...

Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant information about uncertainty. A more complete picture...

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of nancial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...

Many business people such as farmers and financial investors are affected by indirect losses caused by scarce or abundant rainfall. Because of the high potential of insuring rainfall risk, the Chicago Mercantile Exchange (CME) began trading rainfall derivatives in 2011. Compared to temperature...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such eect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to nd shifts in mean, but only few can do this...

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...