Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and...

We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...

As the world's largest importer, trading of iron ore occupies a pivotal position in China's international trade. In order to seek the decision power of deciding the price for iron ore, China's Dalian Commodity Exchange (DCE) listed iron ore futures in October 2013,which has become the world's...

Ongoing climate change will increase competition for water. Diversified demand for water -in contrast with the rigid design of water systems, institutions and infrastructure- could hinder the implementation of adaptation policies in water management for Latin American countries. In this context,...

India's foreign exchange market has been witnessing extreme volatility trends for the past three years. In this context, foreign exchange derivatives become important tools for market risk management. While the over the counter (OTC) derivatives, forwards, are widely used in the post...