This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities....

This paper provides new evidence on the dynamic dependences of European corporate credit spread in three markets: Bond, Credit Default Swap (CDS), and Asset Swap (ASP). Using daily data from 2005 to 2009, we find that credit spread returns are primarily driven by innovations. The intra-market...

We revisit the problem of optimally hedging a European contingent claim (ECC) using a hedging portfolio consisting of a risky asset that can be traded at pre-specified discrete times. The objective function to be minimized is either the second-moment or the variance of the hedging error...