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Do index funds speculate on agricultural futures markets? Explanatory notes on the business model and the additional need for research

Prehn, Sören; Glauben, Thomas; Pies, Ingo; Will, … - Leibniz-Institut für Agrarentwicklung in … - 2013

Huge number of transactions of index funds on agricultural futures markets have been criticized by the media and many … prices. Therefore, trade restrictions by position or price limits may significantly harm the functioning of futures markets … and will likely not solve the problem of volatile futures and cash market prices. …

Persistent link: https://www.econbiz.de/10010980669

Self-decomposability and option pricing

Yor, Marc; Madan, Dilip B.; Carr, Peter; Geman, Hélyette - Université Paris-Dauphine (Paris IX) - 2007

two of these models. Currently, there are several option pricing models with 610 free parameters that deliver a comparable …

Persistent link: https://www.econbiz.de/10010905156

A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied Mathematical Finance 14 (2007) 2, pp. 153-169

dynamics ensures that spot prices are positive, and that the dynamics is simple enough to allow for analytical pricing of … electricity forward and futures contracts. Electricity forward and futures contracts have the distinctive feature of delivery over … sufficiently flexible to capture the observed dynamics of electricity spot prices. The pricing of European call and put options …

Persistent link: https://www.econbiz.de/10005495417

Selfdecomposability and selfsimilarity: A concise primer

Cufaro Petroni, Nicola - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 1875-1894

We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Lévy and the additive processes with an emphasis on stationarity and...

Persistent link: https://www.econbiz.de/10010590629

Fixed jumps of additive processes

Liao, Ming - In: Statistics & Probability Letters 83 (2013) 3, pp. 820-823

A process in a Euclidean space is called an additive process if it has independent increments. We recall the classical Lévy–Itô representation for additive processes without fixed jumps, and describe how fixed jumps were handled in the classical literature. Our main result is an extended...

Persistent link: https://www.econbiz.de/10010616882

Optimally thresholded realized power variations for Lévy jump diffusion models

Figueroa-López, José E.; Nisen, Jeffrey - In: Stochastic Processes and their Applications 123 (2013) 7, pp. 2648-2677

Thresholded Realized Power Variations (TPVs) are one of the most popular nonparametric estimators for general continuous-time processes with a wide range of applications. In spite of their popularity, a common drawback lies in the necessity of choosing a suitable threshold for the estimator, an...

Persistent link: https://www.econbiz.de/10011065046

Stochastic price modelling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale electricity market

Higgs, H.; Worthington, A. C. - 2006

It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian...

Persistent link: https://www.econbiz.de/10009457598

Capturing the Regime-Switching and Memory Properties of Interest Rates

Xi, Xiaojing; Mamon, Rogemar - In: Computational Economics 44 (2014) 3, pp. 307-337

We propose a mean-reverting interest rate model whose mean-reverting level, speed of mean-reversion and volatility are all modulated by a weak Markov chain (WMC). This model features a simple way to capture the regime-switching evolution of the parameters as well as the memory property of the...

Persistent link: https://www.econbiz.de/10010989292

A reduced lattice model for option pricing under regime-switching

Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; … - In: Review of Quantitative Finance and Accounting 42 (2014) 4, pp. 667-690

We present a binomial approach for pricing contingent claims when the parameters governing the underlying asset process … option pricing, for which we show some comparisons with the existing models to assess the goodness of the proposed approach …

Persistent link: https://www.econbiz.de/10010989604

Nonlinear Regime-Switching State-Space (RSSS) Models

Chow, Sy-Miin; Zhang, Guangjian - In: Psychometrika 78 (2013) 4, pp. 740-768

Nonlinear dynamic factor analysis models extend standard linear dynamic factor analysis models by allowing time series processes to be nonlinear at the latent level (e.g., involving interaction between two latent processes). In practice, it is often of interest to identify the phases—namely,...

Persistent link: https://www.econbiz.de/10010998745

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