In this paper we discuss the Malliavin differentiability of a particular class of Feller diffusions which we call $\delta$-diffusions. This class is given by \begin{equation*} d\nu_t=\kappa(\theta-\nu_t))dt \eta \nu_t^{\delta}d\mathbb W_t^2, \delta\in[\frac{1}{2},1] \end{equation*} and appears...

We study the hedging problem for European-style options written on crude-oil futures. Locally risk-minimizing hedging strategies are derived under the assumption that the dynamics of crude-oil futures are described by a Merton-type jump-diffusion. These are then tested empirically using...

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in...

We consider the optimal harvesting problem for a fish farmer in a model which accounts for stochastic prices featuring a Schwartz 97 two factor price dynamics. Unlike any other literature in this context, we take account of the existence of a newly established market in salmon futures, which...

Using the popular Schwartz 97 two-factor approach, we study future contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool Market in Norway since 2006. This approach features a stochastic convenience yield for the salmon spot price. We connect this approach...