We investigate the valuation of catastrophe insurance derivatives that are traded at the Chicago Board of Trade. By modelling the underlying index as a compound Poisson process we give a representation of no-arbitrage price processes using Fourier analysis. This characterization enables us to...

When a spot market monopolist participates in the futures market, he has an incentive to adjust spot prices to make his futures market position more pro.table. Rational futures market makers take this into account when they set prices. Spot market power thus creates a moral hazard problem which...