✦ LIBER ✦

Derivatives and the price of risk

✍ Scribed by Bollen, Nicolas P. B.

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 174 KB
Volume: 17
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199710)17:7<839::aid-fut6>3.0.co;2-o

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Weather derivatives valuation and market

Weather derivatives valuation and market price of weather risk

✍ Melanie Cao; Jason Wei 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB

## Abstract This paper has two objectives: (1) to propose and implement a valuation framework for temperature derivatives (a specific class of weather derivatives); and (2) to study the significance of the market price of weather risk. The objectives are accomplished by generalizing the Lucas model

Economic determinants of default risks a

Economic determinants of default risks and their impacts on credit derivative pricing

✍ Szu-Lang Liao; Jui-Jane Chang 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 311 KB

## Abstract This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables h

Pricing of risk and the cost of money: h

Pricing of risk and the cost of money: how banks are pricing property funding

✍ Allan Griffiths 📂 Article 📅 2001 🏛 Wiley (John Wiley & Sons) ⚖ 234 KB 👁 1 views

Corporate hedging and input price risk

✍ Gary D. Koppenhaver; Steven Swidler 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 894 KB

Input price variability is an important source of risk for corporations that process raw commodities. Models of optimal input hedging are developed in this paper based on the maximization of managerial expected utility. The relationship between hedging strategies and output decisions is examined to

Response to price and production risk: T

Response to price and production risk: The case of Australian wheat

✍ Rambaldi, Alicia N.; Simmons, Phil 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 243 KB 👁 2 views

A model of Australian wheat grower supply response was specified under the constrainsts of price and yield uncertainty, risk aversion, partial adjustment, and quadratic costs. The model was solved to obtain area planted. The results of estimation indicate that risk arising from prices and climate ha

Price limits, margin requirements, and d

Price limits, margin requirements, and default risk

✍ Pin-Huang Chou; Mei-Chen Lin; Min-Teh Yu 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB

This article investigates whether price limits can reduce the default risk and lower the effective margin requirement for a self-enforcing futures contract by considering one more period beyond Brennan's (1986) model to take into account the spillover of unrealized residual shocks due to price limit