This paper explores a new approach for pricing derivatives that aims at distinguishing exposure to implied volatility and exposure to future realized volatility, thus impacting hedging strategies with options. By construction, this approach diverts from standard pricing by pure arbitrage that...

The recent and rapidly growing interest in biofuel as a green energy source has raised concerns about its impact on the prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural commodities and biofuel helps commodity suppliers hedge...

This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The study presents a model of a firm that faces uncertain...