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Forward, option and spot markets in the UK power pool

✍ Scribed by Sally Hunt; Graham Shuttleworth

Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
763 KB
Volume
3
Category
Article
ISSN
0957-1787

No coin nor oath required. For personal study only.

✦ Synopsis

The new Power Pool in England and Wales can be seen as a set of parallel markets, forward, option and spot. This paper develops the conceptual framework of the Pool, and identifies areas

where it might be strengthened.

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Variance risk premiums and predictive power of alternative forward variances in the corn market
✍ Zhiguang Wang; Scott W. Fausti; Bashir A. Qasmi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐money call and put options as a measure of implied variance. We find negative and time‐varying variance risk premiums (realized variance minus implied variance) in the corn market from 1987 to 2009