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 …

.43% for expected inflation for the forthcoming year and 1% for the years beyond that. The prospect of hedging inflation risk …

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 …

). Financially constrained firms reduce operational hedging through inventory and supply chain in favor of cash holdings. Our model … predicts that firms' markup increases with financial default risk as they cut operational hedging costs. Empirical analysis …' strategic adjustments in operational hedging practices …