In this paper a pricing formula is derived for futures options in Schwartz 1997 two factor model with time dependent spot volatility. The pricing formula can be used like the Black-Scholes formula with observed volatility directly. Also, it can be used to find backwards the results of time...

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling inflation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives...

In this paper we propose a simple one-factor quantile regression model based on realized volatility to forecast Value-at-Risk (VaR). The model only uses daily realized volatility as input and thus simplifies estimation substantially compared with most other methodologies currently used to...

We extend the Rothschild and Stiglitz (1970, 1971) notion of increasing risk to families of random variables and in this way link their approach to the concept of stochastic processes which are increasing in the convex order. These processes have been introduced in seminal work by Strassen...

Using the popular Schwartz 97 two-factor approach, we study future contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool Market in Norway since 2006. This approach features a stochastic convenience yield for the salmon spot price. We connect this approach...

For fixed maturity, under the no-arbitrage assumption, futures prices should follow a martingale with respect to the trading time, at least under the pricing measure. Therefore, a prominent display of trading time seasonality under the physical measure raises warning signs and can only occur by...