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Modeling and hedging strategies for agricultural commodities

Abstract : In agricultural markets, producers incur price and production risks as well as other risks related to production contingencies. These risks impact the producer activity and could decrease his income. The globalization of markets, particularly those of agricultural commodities, provides hedging instruments including futures contracts which will serve to develop a hedging strategy. However, the situation whereby a single futures contract-based positions could offset many risks leads to incomplete market. Especially, an producer looking for better hedging strategy could also include insurance, option contract or mutual funds to further guarantee his income, specially when crop yields are lower than expected.vspace{0.25cm}We investigate the hedging strategies in static framework as well as in continuous time framework. Prior, we analyze the behavior of agricultural prices using various statistical approaches and suggest appropriate price modeling for data at hands. The static hedging strategy also accounts for rollover process which gives raise to additional risks due to spread between new futures and nearby futures and inter-crop hedging. We particularly address hedging strategy that combines futures and insurance contracts. Since decisions making in static framework does not include price changes along the hedging horizon, optimal hedging strategy in continuous time framework will take into account jumps and seasonality by combining futures and option contracts.
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Zoulkiflou Moumouni. Modeling and hedging strategies for agricultural commodities. Economics and Finance. Université Montpellier, 2016. English. ⟨NNT : 2016MONTD047⟩. ⟨tel-01563222⟩



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