rainfall risk than the rainfall bonds and the capital requirement for an effective hedging of the rainfall insurance portfolio …

This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF … that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

This paper addresses minimum-variance hedging of European contingent claims (ECC) in the case where changes to the … hedging portfolio can be made only at discrete, pre-decided times. A simple derivation of the minimum-variance hedging … modified in a certain manner. In the case of specific claims, the minimum-variance hedging strategy can be further expressed in …