, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

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 … domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …

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 …-dependent options and options on assets with stochastic volatility and jumps. " …

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 … replacement of a real security by synthetic strategies may in itself cause enough uncertainty about the price volatility of the …

correlated with prices and inventory signals, but we reject the Keynesian "hedging pressure" hypothesis that these positions are …

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 …