Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still...

The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which accommodates leverage, feedback effects and multifactor for the covariance process. The paper gives the closed-form solution for the conditional and unconditional Laplace transform...

There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...

Der Handel mit Optionen gewinnt auf volatileren Agrarmärkten zunehmend an Bedeutung. Nun stellt sich die Frage, ob der Optionshandel ein sinnvolles Instrument zur Risikoabsicherung von Landwirten und Landhändlern darstellt oder ob er vielmehr ein Treiber der Agrarpreisvolatilität ist. Die...

This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...