This paper explores the growing involvement of new types of non- commodity-sector-related players in commodity futures … involvement of banks. The impact of this new form of "speculation" on the price formation process on commodity futures markets is …

Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets … theory of the behavior of futures and options markets, the efficient market hypothesis. The following conclusion is reached … exceeds the cost of storage, and then to use hedging to assure an expected positive return. …

-varying minimum variance hedge ratios for corn and nickel spot and futures prices. Out-of-sample point estimates of hedging portfolio … variance show that compared to the state-independent BEKK-GARCH model, the RS-BEKK-GARCH model improves out-of-sample hedging …

(floating leg of the OIS). The second is options on the composition. In both cases we study both continuous and discrete … composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …

using either of the two alone. Third, hedging using price and crop yield futures has a potential to offer benefits larger …The use of crop yield futures contracts is examined. The expectation being modeled here reflects that of an Illinois … alternatives: 1) a revenue hedge using just price futures, 2) a revenue hedge using crop yield futures, 3) an unhedged scenario …

hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning …

study uses survey data, which enables us to differentiate between hedging aimed at translation exposure and transaction … increasing with firm size and exposure and that liquidity constraints are important in explaining transaction exposure hedging …. Importantly, we find that the existence of loan covenants explains translation exposure hedging. This suggests that firms hedge …

We present an explicit formula for European options on coupon bearing bonds and swaptions in the Heath … provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …