In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them Burn Analysis, Index Value Simulation and Daily Simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

B1_3

C2_2

The objective of this paper is to investigate the performance of different VaR models in the context of risk assessment in hog production. Potential pitfalls of traditional VaR models are pinpointed and proposals to solve them are analyzed. After a brief description these methods are used to...

In this paper we price a precipitation option based on empirical weather data from Germany using different pricing methods, among them the burn analysis, index value simulation and daily simulation. For that purpose we develop a daily precipitation model. Moreover, a decorrelation analysis is...

German hog production responds only very limited to price fluctuations in the pork market. The hog production concentrates in a few regions though it does not depend on special natural conditions. Furthermore, the production volume does hardly vary over time. Relatively high market risks, sunk...

Replaced with revised version of paper 06/17/08.

Purpose: Liquidity is an important aspect of market efficiency. The purpose of this paper is threefold: first, this paper aims to discuss indicators that provide information about liquidity in agricultural land markets. Second, this paper aims to reflect on determinants of market liquidity and...

Forecasting temperature in time and space is an important precondition for both the design of weather derivatives and the assessment of the hedging effectiveness of index based weather insur-ance. In this article, we show how this task can be accomplished by means of Kriging techniques....

Replaced with revised version of paper 06/17/08.