-Jarrow-Morton (HJM) one factor model with non-stochastic volatility. The formula extends the Jamshidian formula for zero-coupon bonds. We … provide also an explicit way to compute the hedging ratio (Delta) to hedge the option with its underlying. …

but also that it can be immediately inverted to obtain an explicit formula for implied volatility. In this contribution we …

A market is considered whose index has strongly price-dependent local volatility. A tractable parametrization of the … volatility is formulated, and option valuation of a stock with two-factor dynamics is investigated. One factor is the market … a set of calls were fitted with a one-factor implied volatility, the calls could not be hedged solely with an offsetting …

-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 …

composition. We provide explicit formulas within the HJM one-factor models with deterministic volatility together with hedging …

draw four major conclusions from the results. First, hedging effectiveness using the new crop yield contract depends … using either of the two alone. Third, hedging using price and crop yield futures has a potential to offer benefits larger …

hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential … hedging instrument for Omaha cash hogs and cash loins. The strongest evidence of this is for the short-term hedging of cash … hogs. For the other three meats, no futures contract demonstrated a clear hedging advantage. …