This paper develops formulas for pricing caps and swaptions in LIBOR market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (1999) in a framework allowing for very general jump processes. For computational purposes, it is convenient...

We develop an efficient Monte Carlo method for the valuation of a financial contract with payoff dependent on discretely realized variance. We assume a general model in which asset returns are random shocks modulated by a stochastic volatility process. Realized variance is the sum of squared...

I investigate how local supply shocks in the globally distributed production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a...