In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single, consistent model. In an application we show the economic...

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into...

Typical of the AIDS epidemics is that governments in developing countries under-invest in drugs production because of the possible appearance of a curative vaccine. We design a financial tool allowing to hedge against this event. We show that the introduction of this asset increases social...

In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches expiration. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts over longer period...

In a seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase as futures contract approaches maturity. This study provides new evidence on the maturity effect by examining a more extensive set of futures contracts than previous studies and...

L'objet de cet article est de tester la presence de causalite lineaire et non-lineaire au sens de Granger entre l'indice CAC 40 et les options sur indice en 1997 et 1998. Nos resultats indiquent que le marche au comptant precede le marche des options de 20 a 30 minutes, signe que le MONEP n'est...

Dans ce travail, nous proposons un cadre general pour les modeles discrets et finis. Tout d'abord, nous montrons un resultat d'absence d'arbitrage. Puis, nous l'appliquons afin de retrouver les resultats deja connus sur les couts de transaction et les contraintes de vente a decouvert, pour des...

Our strategy in this chapter is as follows: (a) use financial market data to estimate time-series models for dividend growth and discount rates, (b) use these models to simulate dividend growth and discount rate paths for a variety of possible economies that do not contain bubbles, (c) calculate...

This paper uses low frequency end-monthly data on the Nikkei stock market index and business cycle variables in Japan to examine the important determinants of variations in the volatility in the Nikkei stock market index.