We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when investing in futures contracts. We study a class of...

This paper is concerned with managing risk exposure to temperature using weather derivatives. We consider hedging temperature risk using so-called HDD- and CDD-index futures, which are instruments written on temperatures in specific locations over specific time periods. The temperatures are...