Narrow search
Showing 1 - 10 of 77
Cover Image
Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime; Collin-Dufresne, Pierre; Goldstein, Bob - In: Journal of banking & finance 29 (2005) 11, pp. 2723-2749
Persistent link: https://www.econbiz.de/10003121044
Cover Image
Stochastic convenience yield implied from commodity futures and interest rates
Casassus, Jaime; Collin-Dufresne, Pierre - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2283-2332
Persistent link: https://www.econbiz.de/10003159354
Cover Image
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
Casassus, Jaime - 2005
We model equilibrium spot and futures oil prices in a general equilibrium production economy. In our model production of the consumption good requires two inputs: the consumption good and a commodity, e.g., Oil. Oil is produced by wells whose flow rate is costly to adjust. Investment in new Oil...
Persistent link: https://www.econbiz.de/10012466807
Cover Image
Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology
Casassus, Jaime - 2006
We model equilibrium spot and futures oil prices in a general equilibrium production economy. In our model production of the consumption good requires two inputs: the consumption good and a commodity, e.g., Oil. Oil is produced by wells whose flow rate is costly to adjust. Investment in new Oil...
Persistent link: https://www.econbiz.de/10012783340
Cover Image
Maximal Gaussian affine models for multiplec commodities: a note
Casassus, Jaime; Liu, Peng; Tang, Ke - 2014
Persistent link: https://www.econbiz.de/10011311374
Cover Image
A compound option model for evaluating multistage natural resource investments
Cortazar, Gonzalo; Casassus, Jaime - In: Project flexibility, agency, and competition : new …, (pp. 205-223). 2000
Persistent link: https://www.econbiz.de/10001680724
Cover Image
Optimal timing of a mine expansion : implementing a real optaions model
Cortazar, Gonzalo; Casassus, Jaime - In: The quarterly review of economics and finance : journal … 38 (1998) Special issue, pp. 755-769
Persistent link: https://www.econbiz.de/10001473135
Cover Image
Consumption and hedging in oil-importing developing countries
Aldunate, Felipe; Casassus, Jaime - In: European financial management : the journal of the … 18 (2012) 5, pp. 896-928
Persistent link: https://www.econbiz.de/10009665599
Cover Image
Economic linkages, relative scarcity, and commodity futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362
Persistent link: https://www.econbiz.de/10009752184
Cover Image
Adjusted money's worth ratios in life annuities
Casassus, Jaime; Walker Hitschfeld, Eduardo - 2013
Persistent link: https://www.econbiz.de/10009746044