To price mid-curve or spread options we need flexible joint distributions of two underlying rates with fixed marginals. A Copula approach is a standard method to produce such joint distributions.It has, however, several drawbacks, especially, a low number of free parameters. For example, the...

This paper formally incorporates parameter uncertainty and model error into the estimation of contingent claim models and the formulation of forecasts. This allows inference on functions of interest (option values, bias functions, hedge ratios) consistent with uncertainty in both parameters and...

Computing Standardized Initial Margin Model Margin Valuation Adjustment (SIMM-MVA) requires the simulation of future sensitivities, but these are expensive to compute for callable products. This paper introduces a method which avoids nested calls to the pricing function, similar to the use of...

We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks. This method, named Backward Differentiation (BD), was developed in the context of computing price or PV Greeks for individual callable exotic trades.We start by treating cases where...

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets...

The purpose of this study is to examine the impact of inflation on agricultural prices. The empirical model developed in that respect was estimated for a panel of twenty eight developed and eighty three developing countries over the period 1980-2007 using panel smooth transition regression...

German Abstract: Bedingt durch die Erosion alter Geschäftsmodelle wenden sich Energieversorgungsunternehmen neuen Betätigungsfeldern zu. Die Aufnahme oder der Ausbau von Handelsaktivitäten spielen dabei eine prominente Rolle. Dies erfordert die Implementierung von Risikomessmethoden, um den...

In this study, we analyze the effects of monetary policy on commodity prices, while accounting for the unconventional monetary policy actions, such as large scale asset purchase programs and forward guidance, implemented by the federal reserve in response to the near zero interest environment...

Given the mounting importance of today’s agricultural policies to mitigate the environmental pressure from agricultural activities and to bolster the concurrent economic productivity, policymakers advocate that emerging farming technologies might be a viable response to this challenge. We draw...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...