Optimal Hedging under Intertemporally Dependent Preferences
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- Mellios, Constantin & Six, Pierre & Lai, Anh Ngoc, 2016.
"Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield,"
European Journal of Operational Research,
Elsevier, vol. 250(2), pages 493-504.
- Constantin Mellios & Pierre Six & Anh Ngoc Lai, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," Post-Print halshs-01244560, HAL.
- Röthig, Andreas, 2008. "The impact of backwardation on hedgers' demand for currency futures contracts: theory versus empirical evidence," Darmstadt Discussion Papers in Economics 190, Darmstadt University of Technology, Department of Law and Economics.
- Gilroy, Bernard Michael & Broll, Udo, 2005. "Managing Credit Risk with Credit Derivatives," MPRA Paper 17678, University Library of Munich, Germany.
- Fouda, Henri & Kryzanowski, Lawrence & Chau To, Minh, 2001. "Futures market equilibrium with heterogeneity and a spot market at harvest," Journal of Economic Dynamics and Control, Elsevier, vol. 25(5), pages 805-824, May.
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