Presentation is loading. Please wait.

Presentation is loading. Please wait.

Options Portfolios in the Presence of Non-Linear Risk by Kevin McNew Suggested citation format: McNew, K.. “Options Portfolios in the Presence of Non-Linear.

Similar presentations


Presentation on theme: "Options Portfolios in the Presence of Non-Linear Risk by Kevin McNew Suggested citation format: McNew, K.. “Options Portfolios in the Presence of Non-Linear."— Presentation transcript:

1 Options Portfolios in the Presence of Non-Linear Risk by Kevin McNew Suggested citation format: McNew, K.. “Options Portfolios in the Presence of Non-Linear Risk," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

2 Noise Trader Demand in Commodity Futures Markets by Dwight R. Sanders, Scott H. Irwin, Raymond M. Leuthold Suggested citation format: Sanders, D. R., S. H. Irwin, and R. M. Leuthold. “Noise Trader Demand in Commodity Futures Markets," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

3 The Potential Inefficiency of Using Marketing Margins in Applied Commodity Price Analysis, Forecasting, and Risk Management by Frank M. Han and Garth J. Holloway Suggested citation format: Han, F. M., and G. J. Holloway. “The Potential Inefficiency of Using Marketing Margins in Applied Commodity Price Analysis, Forecasting, and Risk Management," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

4 An Empirical Examination of the Role of Trading Volume in Futures Markets by Li Yang and Raymond M. Leuthold Suggested citation format: Yang, L., and R. M. Leuthold. “An Empirical Examination of the Role of Trading Volume in Futures Markets," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

5 Wheat Futures Price Behavior: Theoretical and Empirical Considerations by Dawn D. Thilmany, Jau-Rong Li, Christopher B. Barrett Suggested citation format: Thilmany, D. D., J.-R. Li, and C. B. Barrett. “Wheat Futures Price Behavior: Theoretical and Empirical Considerations," Proceedings of the 1996 NCCC- 134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

6 Volatility Based Tests for Informational Efficiency on Commodity Options Markets by Robert J. Myers, Steven D. Hanson, Jing-Yi Lai, Hong Wang Suggested citation format: Myers, R. J., S. D. Hanson, J.-Y. Lai, H. Wang. “Volatility Based Tests for Informational Efficiency on Commodity Options Markets," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

7 Commodity Futures Market Reaction to Anticipated Public Reports: Frozen Pork Bellies by Li Yang Suggested citation format: Yang, L.. “Commodity Futures Market Reaction to Anticipated Public Reports: Frozen Pork Bellies," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

8 Price Discovery Role of Futures Prices: A Linear Feedback Approach by Samarendu Mohanty, Darnell B. Smith, E. Wesley F. Peterson Suggested citation format: Mohanty, S., D. B. Smith, E. W. F. Peterson. “Price Discovery Role of Futures Prices: A Linear Feedback Approach," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

9 Evaluation of Extension and USDA Price and Production Forecasts by Terry L. Kastens, Ted C. Schroeder, Ron Plain Suggested citation format: Kastens, T. L., T. C. Schroeder, R. Plain. “Evaluation of Extension and USDA Price and Production Forecasts," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

10 Spatial Price Analysis: A Methodological Review by Paul L. Fackler Suggested citation format: Fackler, P. L.. “Spatial Price Analysis: A Methodological Review," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

11 Determination of Base Payments for Feeder Pig Producers and Finishers by Joseph L. Parcell and Michael R. Langemeier Suggested citation format: Parcell, J. L., and M. R. Langemeier. “Determination of Base Payments for Feeder Pig Producers and Finishers," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

12 Effects of Reduced Government Deficiency Payments on Post-Harvest Marketing Strategies by Steven Betts, Brian D. Adam, B. Wade Brorsen Suggested citation format: Betts, S., B. D. Adam, B. W. Brorsen. “Effects of Reduced Government Deficiency Payments on Post-Harvest Marketing Strategies," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

13 Optimal On-Farm Storage by Paul L. Fackler and Michael J. Livingston Suggested citation format: Fackler, P. L., and M. J. Livingston. “Optimal On-Farm Storage," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

14 Optimal Storage Decisions under Estimation and Prediction Risk by Tommie L. Shepherd and Jeffrey H. Dorfman Suggested citation format: Shepherd, T. L., and J. H. Dorfman. “Optimal Storage Decisions under Estimation and Prediction Risk," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

15 You Know It's Going to Be a Bad Day When a 60 Minutes Camera Crew Is Waiting for You at Work - A Case Study of Chicken Contamination Publicity by Dean G. Fairchild and Roger A. Dahlgran Suggested citation format: Fairchild, D. G., and R. A. Dahlgran. “You Know It's Going to Be a Bad Day When a 60 Minutes Camera Crew Is Waiting for You at Work - A Case Study of Chicken Contamination Publicity," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

16 Farmers' Use of Normal Flex Acres: A Glimpse of the Future by Brian Willott, Gary Adams, Robert Young, Abner Womack Suggested citation format: Willott, B., G. Adams, R. Young, and A. Womack. “Farmers' Use of Normal Flex Acres: A Glimpse of the Future," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

17 Textile Market Valuation of Cotton Quality Attributes by Changping Chen and Don E. Ethridge Suggested citation format: Chen, C., and D. E. Ethridge. “Textile Market Valuation of Cotton Quality Attributes," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

18 The Influence of IRS Tax Policy on Use of Livestock Cattle Futures and the Effectiveness of the Price Discovery Process by Wayne D. Purcell Suggested citation format: Purcell, W. D.. “The Influence of IRS Tax Policy on Use of Livestock Cattle Futures and the Effectiveness of the Price Discovery Process," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

19 Short-Run Captive Supply Relationships with Fed Cattle Transaction Prices by Clement E. Ward, Stephen R. Koontz, Ted C. Schroeder Suggested citation format: Ward, C. E., S. R. Koontz, and T. C. Schroeder. “Short-Run Captive Supply Relationships with Fed Cattle Transaction Prices," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

20 The Impacts of Exclusive Marketing/Procurement Agreements on Fed Cattle Transaction Prices: An Experimental Simulation Approach by Tracy Dowty, Clement Ward, Stephen Koontz, Derrell Peel, James Trapp Suggested citation format: Dowty, T., C. Ward, S. Koontz, D. Peel, and J. Trapp. “The Impacts of Exclusive Marketing/Procurement Agreements on Fed Cattle Transaction Prices: An Experimental Simulation Approach," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

21 Fed Cattle Geographic Market Delineation: Slaughter Plant and Firm Supply Response Analysis by Marvin Hayenga, Bingrong Jiang, Donald D. Hook Suggested citation format: Hayenga, M., B. Jiang, and D. D. Hook. “Fed Cattle Geographic Market Delineation: Slaughter Plant and Firm Supply Response Analysis," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

22 Fed Cattle Spatial Transaction Price Relationships by Ted C. Schroeder Suggested citation format: Schroeder, T. C.. “Fed Cattle Spatial Transaction Price Relationships," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

23 Arbitrage Costs Between Regional Fed-Cattle Markets by Stephen R. Koontz Suggested citation format: Koontz, S. R.. “Arbitrage Costs Between Regional Fed-Cattle Markets," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

24 Sources of Economic Variability in Cattle Feeding by Rodney Jones, James Mintert, Michael Langemeier, Ted Schroeder, Martin Albright Suggested citation format: Jones, R., J. Mintert, M. Langemeier, T. Schroeder, M. Albright. “Sources of Economic Variability in Cattle Feeding," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

25 Improving Monthly Fed Cattle Forecasts with Information on Market-Ready Inventory by Kendall L. McDaniel and Stephen R. Koontz Suggested citation format: McDaniel, K. L., and S. R. Koontz. “Improving Monthly Fed Cattle Forecasts with Information on Market-Ready Inventory," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

26 An Economic Analysis of U.S. Broiler Industry: A Structural Bayesian VAR Approach by Chandrashekar Karnum, Christopher McIntosh, Timothy Park Suggested citation format: Karnum, C., C. McIntosh, and T. Park. “An Economic Analysis of U.S. Broiler Industry: A Structural Bayesian VAR Approach," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

27 A Reappraisal of the Forecasting Performance of Corn and Soybean New Crop Futures by Carl Zulauf, Scott H. Irwin, Jason Ropp, Anthony Sberna Suggested citation format: Zulauf, C., S. H. Irwin, J. Ropp, and A. Sberna. “A Reappraisal of the Forecasting Performance of Corn and Soybean New Crop Futures," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

28 An Analysis of the Performance of the Diammonium Phosphate Futures Contract by Keith Bollman, Sarahelen Thompson, Philip Garcia Suggested citation format: Bollman, K., S. Thompson, P. Garcia. “An Analysis of the Performance of the Diammonium Phosphate Futures Contract," Proceedings of the 1996 NCCC- 134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]

29 Evaluating the Hedging Potential of the Lean Hog Futures Contract by Mark W. Ditsch and Raymond M. Leuthold Suggested citation format: Ditsch, M. W., and R. M. Leuthold. “Evaluating the Hedging Potential of the Lean Hog Futures Contract," Proceedings of the 1996 NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [http://www.farmdoc.uiuc.edu/nccc134]


Download ppt "Options Portfolios in the Presence of Non-Linear Risk by Kevin McNew Suggested citation format: McNew, K.. “Options Portfolios in the Presence of Non-Linear."

Similar presentations


Ads by Google