Over-the-counter forward contracts and spot price volatility in shipping

2004 ◽  
Vol 40 (4) ◽  
pp. 273-296 ◽  
Author(s):  
Manolis G. Kavussanos ◽  
Ilias D. Visvikis ◽  
Roy A. Batchelor
Keyword(s):  
Price Volatility ◽  
Spot Price ◽  
Forward Contracts ◽  
Over The Counter

Over-the-Counter Forward Contracts and Spot Price Volatility

2003 ◽  
Author(s):  
Roy Batchelor ◽  
Manolis G. Kavussanos ◽  
Ilias Visvikis
Keyword(s):  
Price Volatility ◽  
Spot Price ◽  
Forward Contracts ◽  
Over The Counter

The Collateral-Linked Currency Forward (CLCF) Contract: Blockchain-Enabled OTC Currency Forward Market Infrastructure

2018 ◽  
Keyword(s):  
Financial Markets ◽  
Price Volatility ◽  
Primary Source ◽  
Counterparty Risk ◽  
Forward Contracts ◽  
Over The Counter ◽  
Market Participants ◽  
Distributed Ledger ◽  
Forward Contract ◽  
Market Infrastructure

We eliminate the primary source of uncompensated risk from trading in one of the largest sectors of the global financial markets. Market infrastructure enhancements are achieved in the foreign exchange (FX) forward contract market by integrating distributed ledger technology (DLT) into the creation of collateral-linked contracts for currency forwards (CLCF). Specifically, we deploy DLT with embedded automation as the shared platform for bilateral FX forward contracts, including operational provisions of International Swaps and Derivatives Association and Credit Support Annex agreements. Through automation, we link the economics of the currency forward contract and the price-volatility-induced counterparty exposures, bringing intraday counterparty risk to within mutually acceptable ranges. The essential benefits of the over-the-counter market structure are preserved because CLCF contracts remain bilateral to allow for customized terms and conditions between market participants. Reduced concentration risk is also preserved because there is no central counterparty or central clearing organization into which all risks are pooled. As a result, liquidity is enhanced and risk is reduced in the FX forward contract market.

Design and pricing of derivative contracts in a spectrum market

2015 ◽  
Vol 02 (01) ◽  
pp. 1550005 ◽  
Author(s):  
Aparna Gupta ◽  
Koushik Kar ◽  
Praveen K. Muthuswamy
Keyword(s):  
Wireless Channels ◽  
Numerical Study ◽  
Price Volatility ◽  
Spot Price ◽  
Spectrum Access ◽  
Self Similarity ◽  
Price Process ◽  
Management Objectives ◽  
Price Increases ◽  
Spectrum Market

We propose a secondary spectrum market that allows wireless providers to purchase spectrum access licenses of short duration in the form of spot contracts and derivative contracts on spectrum. A spot contract provides immediate access to one or more wireless channels and cannot be further traded. On the other hand, derivative contracts on spectrum typically involve purchase of spectrum licenses in the future for predefined terms, and they can play an important role in risk management objectives of wireless providers. In this paper, we utilize a model for the spot price of spectrum licenses in which the price increases with increasing congestion in spectrum usage caused by the primary demand for spectrum. The spot price process, modeled as driven by a fractional Brownian motion (fBm) process to capture the self-similarity properties of wireless traffic, is utilized in fractional stochastic calculus to obtain the value of derivative contracts. We design a variety of derivative contracts considering the risk profile of both the buyers and sellers of spectrum. Through a detailed numerical study, we examine the value of these derivative contracts for changes in spot price volatility and the parameters that define the contracts.

scholarly journals Research on Risk Control under the Background of Electricity Futures Market

2020 ◽  
Vol 165 ◽  
pp. 06032
Author(s):  
Suyuan Chang ◽  
Dunnan Liu ◽  
Xiaoyu Li
Keyword(s):  
Electricity Market ◽  
Effective Means ◽  
Futures Market ◽  
Spot Price ◽  
Price Difference ◽  
Forward Contracts ◽  
Hedging Strategies ◽  
Futures Hedging ◽  
The Difference ◽  
Market Factors

In the process of electricity marketization, the electricity futures market is an effective means to avoid the risk of electricity price fluctuations. Based on the background of the electricity futures market, this article first analyzes the physical and market factors of the price fluctuation risk in the electricity market; then, it studies the principle and implementation effects of the power futures hedging function; finally, the manufacturer’s strategy of hedging based on the price difference between the spot price of electricity and the price of forward contracts has been studied in detail. This article believes that the electricity futures market can effectively hedge the spot market risk, and hedging strategies based on the difference between the spot price and the forward price are better.

scholarly journals Managing Price Risk in Volatile Grain Markets, Issues and Potential Solutions

2009 ◽  
Vol 41 (2) ◽  
pp. 353-362 ◽  
Author(s):  
Andrew M. McKenzie ◽  
Eugene L. Kunda
Keyword(s):  
Price Volatility ◽  
Price Risk ◽  
Credit System ◽  
Over The Counter ◽  
Grain Markets ◽  
Lines Of Credit ◽  
Farm Credit ◽  
Farm Credit System ◽  
Simulation Results ◽  
Sources Of Capital

During 2008 extreme price volatility in grain markets led to country elevators incurring unprecedentedly large margin calls on their futures hedges. As a result elevators' traditional liquidity sources and lines of credit were stretched to breaking point. This article explores the potential liquidity benefits of making available an Over-the-Counter Margin Credit Swap contract to grain hedgers. The swap would enable hedgers to draw upon sources of capital outside the farm credit system to provide liquidity needed to make margin calls. Simulation results clearly show that a Margin Credit Swap contract would provide significant liquidity benefits to hedgers during volatile periods.

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