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Lu Zong and Manuela Ender
In this paper, a new form of weather derivative contract, namely the climatic zone-based growth degree-day (GDD) contract, is introduced. The objective is to increase the risk management efficiency in the agricultural sector of China and to reduce the mo...
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Cícero Augusto Vieira Neto,Pedro L. Valls Pereira
Pág. pp. 19 - 54
This article deals with a model for the term structure of interest rates and the valuation of derivative contracts directly dependent on it. The work is of a theoretical nature and deals, exclusively, with continuous time models, making ample use of stoc...
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Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalhães Manteiga
Pág. pp. 1 - 21
In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime o...
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