Matstat seminarium onsdagen 10 januari 2001 kl. 15.15

Knut K. Aase, Norges Handelshøyskole:
Area Yield Futures and Options

Abstract:
An economic model is proposed for
securing quantum and revenue, and a futures pricing theory
of contingent claims on revenue and quantum is
presented and discussed.

In particular we discuss how one can use  futures, and futures
options markets for quantum, and combine these with a similar,
traditional market for future contracts on price, in order
to secure revenue.

An example of contingent claims on quantum
is given by  area yield futures and options traded
at the CBOT. Contracts on this exchange are used to
illustrate the theory. Also some empirical
examples are given.