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Robustness of the mean-variance model with truncated probability distributions
Hanson, Steven D. - In: American journal of agricultural economics 73 (1991) 2, pp. 436-445
Persistent link: https://www.econbiz.de/10001107600
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Stable distributions, futures prices, and the measurement of trading performance
Cornew, Ronald W. - In: The journal of futures markets 4 (1984) 4, pp. 531-557
Persistent link: https://www.econbiz.de/10001082393
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The new regulation of swaps : a lost opportunity
Nazareth, Annette L.; Rosenberg, Gabriel D. - In: Comparative economic studies 55 (2013) 3, pp. 535-548
Persistent link: https://www.econbiz.de/10010187960
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Pricing commodity swaptions in multifactor models
Larsson, Karl - In: The journal of derivatives : the official publication … 19 (2011) 2, pp. 32-44
Persistent link: https://www.econbiz.de/10009413614
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Life on the margin : US margin rules finalized at last
Horwitz, Marc; Hall, Claire; Phipps, Bradley - In: The journal of investment compliance 17 (2016) 2, pp. 70-74
Persistent link: https://www.econbiz.de/10011523921
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Pricing European commodity swaptions
Järvinen, Sami; Toivonen, Harri - In: Applied economics letters 11 (2004) 15, pp. 925-929
Persistent link: https://www.econbiz.de/10002507442
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Derivative markets and competitiveness
Napoli, Janet A. - In: Economic perspectives 16 (1992) 4, pp. 13-24
Persistent link: https://www.econbiz.de/10001127451
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Hedging long term commodity swaps with futures
Apsel, David - In: Global finance journal 1 (1989) 1, pp. 77-93
Persistent link: https://www.econbiz.de/10001089855
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Exploring Commodity Trading Activity : An Integrated Analysis of Swaps and Futures
Mixon, Scott - 2016
smaller in swaps than in futures and are net long in both markets. Swap Dealers perform a substantial amount of intermediation … than the gross swap exposure …
Persistent link: https://www.econbiz.de/10012977114
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Modeling Prices of Islamic Commodity Swaption
Aljudaibi, Nahla Ghazi - 2019
-compliant swaption model (waʿd or promise on swap) for hedging commodity risk. The model combines two separate and independent waʿds … (promises) on commodity swap through murābaḥah contract. Black (1976) model is used to determine the intrinsic value for the …
Persistent link: https://www.econbiz.de/10012861713