Blar i NHH Brage på emneord "futures"
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An empirical analysis of futures pricing in the Nordic electricity market
(Master thesis, 2016-09-02)The aim of this paper is to study the pricing of futures contracts relative to expected future spot prices in the Nordic electricity market. Data set of 1–6 weeks ahead weekly and 1–6 months ahead monthly futures is used ... -
Area yield futures and options : risk management and hedging
(Discussion paper, Working paper, 2002)Suppose there exists a market for yield futures contracts as well as ordinary futures contracts for price. Intuitively one would think that a combined use of yield contracts and and futures price contracts ought to provide ... -
Area yield futures and options : risk management and hedging
(Discussion paper, Working paper, 2001)It is shown how a farmer can lock in a certain revenue by a combined trade in futures price and futures yield contracts, abstracting from production costs. An economic model is proposed for a combined price futures and ... -
Lead lag relationships between futures and spot prices
(Working Paper, Working paper, 2002-01)In this paper we examine the relationship between spot and futures prices. This is traditionally done by testing for cointegration with the Engle and Granger methodology, before one specifes an error correction models in ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for the analysis of quantum and revenue hedges, and prices of contingent claims on revenue and quantum are presented and discussed. In particular we discuss how one can use futures, and futures ... -
A pricing model for yield contracts
(Discussion paper, Working paper, 2002)An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is ... -
Volatility and price jumps in agricultural futures prices : evidence from wheat options
(Discussion paper, Working paper, 2003-01)Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices contains a ...