This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …

speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective …

volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a … current lack of information about the extent to which dynamic hedging strategies are in place …

One of the most critical concerns that customers have voiced in the debate over real-time retail electricity pricing is … that they would be exposed to risk from fluctuations in their electricity cost. The concern seems to be that a customer … very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from …