In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...

This paper analyzes the weather derivatives traded at the Chicago Mercantile Exchange (CME), with futures and options written on different temperature indices. We propose to model the temperature dynamics as a continuous-time autoregressive process with lag "p" and seasonal variation. The choice...

We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is frequently referred to as swaps since they in effect represent an exchange...

In this paper we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This models is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return...

The potential influence of accounting regulations on hedging strategies and the use of financial derivatives is a research topic that has attracted little attention in both the finance and the accounting literature. However, recent surveys suggest that company hedging can be substantially...