This paper investigates the presence of the bubbles that are experienced in the global vanilla (VNL) price, using the GSADF approach. The results show that there are five bubbles in the VNL price that are driven by specific reasons. Also, in this regard, the opening and ending points of each...

Organic agriculture, in addition to supporting environmental sustainability, has been a meaningful way to protect and develop small farming in developing regions. The changes that have occurred within the value chain, such as increases in global standards and the effect of globalization, have...

The first part of this document is dedicated to the pricing of undiscounted Vanilla Options: we compute the price and sensitivities of Calls and Puts, and highlight the different FX Delta conventions. The most important application of specific FX market conventions (and particularly Deltas...

We investigate whether employing individual commodity futures provides a superior optimized risk-return strategy relative to an equity portfolio, in spite of recently increasing correlations between commodity and equity markets. We first construct Markowitz mean-variance optimized portfolios of...

We study innovation incentives in the presence of "product hopping," whereby the incumbent patents a minor modification of a drug (e.g., a new delivery method) and invests in marketing to switch demand towards the minor modification. In our setting firms compete sequentially to discover two...

Indtroduction: Currently, Ethiopia is following an agricultural development-led industrialization strategy with a major goal of helping agriculture grow so that it can encourage growth in other sectors of the country’s economy. However, it is characterized by low productivity due to technical...

In July 2018 Dr. Pepper Snapple Group, Inc. (“Dr. Pepper”) acquired all the stock of the Maple Parent Holdings Corp. (better known as “Keurig”) in exchange for Dr. Pepper common stock. The acquisition was unusual in two respects: Dr. Pepper paid its shareholders a pre-merger “special...

"This book describes the central role that these exotic luxuries - spices, scents and silks - played in the lives of the ancients, traces the development of the great international trade networks that delivered them, and explores how the demand for such luxuries shaped the world."

The process of determining the price of a commodity based on supply and demand factors is the Price discovery function. The Futures markets play an important role in the price discovery of agricultural commodities. The importance of commodity derivatives markets is increasing every day,...

"This book offers an interpretation of the two fragmentary texts of the P. Vindobonensis G 40822, now widely referred to as the Muziris papyrus. Without these two texts, there would be no knowledge of the Indo-Roman trade practices. The book also compares and contrasts the texts of the Muziris...

The futures contract plays an important role in price discovery and risk management. The contracts prices have an impact on spot prices and are also used for risk management by hedging. This paper reviews the casual relationship between black pepper spot and futures prices through regression and...

We want to discuss the option pricing in stochastic volatility market models, in which we consider a generic function B (vt) for the drift of the volatility process. It is our intention to choose any equivalent martingale measure, such that, the drift of the volatility process, with respect to...

The pricing of vanilla options on underliers with cash dividends is a surprisingly contentious and active research subject, for both European or American exercise style. Neither on the listed options side (calls and puts) nor on the flow/structured side of longer-term vanillas or light exotics...

We analyse the relationship between large cap returns and sentiment indexes, using a Capital Asset Pricing Model (CAPM) framework. We try to provide a better explanation of asset prices and their deviations from standard theories by means of sentiment indicators, assuming the latter being...

The idea of this paper is to present how Vanilla Market Models, i.e. Models where we directly diffuse the vanillas, can be used in practice. We provide some already known formulae to guarantee that there are neither dynamic nor static arbitrage, extend these results and present them in a...

We calculate the American local volatility. New insights on the American vanilla, call and put options in this paper are presented. In particular, the sensitivities of these products to the local volatility surface are illustrated. The Automatic Algorithmic Differentiation (AAD) pseudo code is...

Black pepper is known as a flowering vine in the family Piperaceae. While Vietnam is the largest producer and exporter of pepper in the world, producing almost one-third of the world's pepper crop, India produces 19% of the world's demand for pepper. In India, Kerala and Karnataka account for...

This study examines the lead-lag relationship and price discovery process between spot and futures market of pepper in India by employing Johansen's cointegration test and the bivariate VECM-EGARCH(1, 1) models. Augmented Dickey-Fuller (ADF) and Phillips Perron (PP) tests are used to check the...

This paper examines the revenue effects of certified organic contract farming and of use of organic farming methods in a tropical African context. These are compared with "organic by default" conventional farming systems without contractual relations. Survey data from a medium-size cocoa-vanilla...

Local capacity for standards conformity assessment is an important component in accessing export markets. In theory, it will lead to lowered compliance costs on the part of local exporters. Moreover, it may provide local exporters with the ability to contest unfavourable foreign test results and...

Certified organic farming has emerged as a market channel providing participating African small-holders with access to high value markets in the EU. The benefits may include not only a guaranteed produce market, but also premium prices, and higher net revenues. Where training in organic farming...