Pricing and risk of swing contracts in natural gas markets

期刊介绍

The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res

在过去的20年里，衍生品资产的激增是前所未有的。随着衍生品的增长，金融机构、机构投资者和企业需要使用复杂的量化技术来充分利用这些新的金融工具。学术研究极大地促进了我们对衍生资产和市场的理解。衍生资产市场的增长伴随着科学研究数量的相应增长。《衍生工具研究评论》为从事衍生资产一般领域研究的研究人员提供了一个国际论坛。该评论发表高质量的文章，涉及任何基础资产（商品、利率、货币、股票、真实的地产、交易或非交易等）衍生资产的定价和对冲。具体主题包括但不限于：衍生市场的计量经济学分析（效率、异常、绩效等）分析掉期市场市场微观结构和波动性问题监管和税收问题信贷风险新的应用领域，如公司融资（资本预算、债务创新）、国际贸易（关税和配额）、银行和保险（嵌入式期权，资产负债管理）风险分担问题和最优衍生证券风险管理的设计，管理和控制资本项目中所含期权的估值和分析外来期权的估值和对冲进一步开发的新领域（即自然资源、环境经济学）。审查采用双盲评审流程。与许多现有期刊在决策和出版过程中的延迟形成对比的是，《评论》将在收到手稿后9周内向作者提供初步决定，并在接受后6个月内提供出版目标。最后，该杂志的一个部分可用于快速出版市场上的“热点”问题、小型技术文章以及与未决立法和政策有关的及时论文。正式引用为：收入衍生结果

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JCR分区 WOS分区等级：Q3区

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