During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

This paper investigates an attempted delivery squeeze in a bond futures contract traded in
London. Using cash and futures trades of dealers and customers, we analyze their strategic …

The performance of the black tiger and white shrimp futures contracts traded in the
Minneapolis Grain Exchange (MGE) is considered. These two futures contracts have …

In recent years, cash and futures prices have failed to converge at expiration for selected
corn, soybean, and wheat commodity contracts. This lack of convergence raises questions …

Commodity Risk Management goes beyond just an introductory treatment of derivative
securities, dealing with more advanced topics and approaching the subject matter from a …

A futures contract may adopt physical delivery or cash settlement to liquidate open positions
after the maturity day. While traditionally physical delivery specification is favored …

We analyze the effect various delivery options embedded in commodity futures contracts
have on the futures price. The two embedded options considered are the timing and location …

The book is a systematic summary of modern term structure theories and how interest rate
contingent claims are priced under such theories. This is the first book on such an attempt …

This paper uses a unique financial instrument in the US Treasury market to study the price
behavior of the put option embedded in the November 2009 14 callable US Treasury bond …

A closed‐form pricing solution is proposed for the quality option embedded in Treasury bond
futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) …