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This paper shows the limitation of the cost-of-carry model which is used for pricing the theoretical value of the KTB futures, and proposes an alternative pricing model based on the term structure of interest rates. Under the assumption of 1-factor term structure, this paper treats the theoretical price of KTB futures price as a risk-neutral expectation of payoff function at maturity and derives the approximated formula for pricing the KTB futures. As compared with our price of KTB futures using the term structure of interest rates, the conventional KOFEX price based on the cost-of-carry model tends to be overvalued as the time to maturity increases. This result is due to the difference between the futures and forward prices which is caused by treating the futures contract as the forward contract in the conventional KOFEX pricing model. In particular, this discrepancy becomes more significant when the price of underlying asset and the interest rates are negatively correlated and the time to maturity is longer. The bond futures contract is a typical example of financial instrument whose price has a negative correlation with interest rates

The purpose of this paper is to examine the pricing efficiency of the Malaysian crude palm oil (CPO) market before and after the structural break. This study uses the daily closing price of CPO and CPO futures (CPO-F) for the period ranging from June 2009 to August 2016 while taking structural breaks into account.

In this study, symmetric and asymmetric long-run relationship model are employed, such as the Johansen cointegration, VECM, TAR and M-TAR models, to examine the impact of structural breaks on the pricing efficiency of the Malaysian CPO market.

This finding establish that Malaysian CPO price is efficient before and after the structural break. The consistent efficiency of the Malaysian CPO market supports the trading of the CPO-F in Globex and the use of Malaysian CPO pricing as the reference price. This study establishes that a structural break in the Malaysian CPO price series does not affect the pricing efficiency of the market.

This study shows that using Malaysian CPO price as a reference price is sustainable even in the event of a structural break. Therefore, market participants in the Malaysian CPO market have less to worry about the CPO price as it supports the weak form of efficiency. Price deviation in the short run may not lead to arbitrage profit as transaction cost may not be covered.

This study implies that if there is distortion in the price due to shocks, both manufacturers and producers need to hedge their positions in the futures market (subject to their positions in the underlying market). By entering into the futures market, pricing is locked in advance; hence, price risk is eliminated. Such a distortion could also affect the efficiency of the CPO price, therefore this study also addresses the issue of efficiency of the local CPO market.

Previous studies on Malaysian CPO pricing efficiency did not take the effect of structural break into consideration, making it difficult for these studies to show consistency in the efficiency of the Malaysian CPO market.

Traditionally, people values KTB futures contracts using the model based on the cost-of-carry argument. However, the underlying commodity for the KTB futures is non-tradable, and so the cost of carry argument cannot be applied to the KTB futures. This paper regards KTB futures contracts as interest-rate derivatives, and prices them using the Black-Karasinski (B-K) term structure model. This paper documents that (1) the market prices of KTB futures are more close to B-K model price than the price by the cost-of-carry argument, though the KTB futures are generally underpriced in the market even under the B-K model; (2) The extent of underpricing is a decreasing function of the remaining maturity of the futures, and becomes smaller recently; (3) The cost of carry argument relatively overprices the KTB futures, and the degree of overpricing is a decreasing function of interest rates and the remaining maturity of the futures; (4) The daily resettlement in the futures contracts affects the futures price very little; (5) The trading strategies based on the theoretical pricing models produce very high trading profit.

This paper aims to test three parametric models in pricing and hedging higher-order moment swaps. Using vanilla option prices from the volatility surface of the Euro Stoxx 50 Index, the paper shows that the pricing accuracy of these models is very satisfactory under four different pricing error functions. The result is that taking a position in a third moment swap considerably improves the performance of the standard hedge of a variance swap based on a static position in the log-contract and a dynamic trading strategy. The position in the third moment swap is taken by running a Monte Carlo simulation.

This paper undertook empirical tests of three parametric models. The aim of the paper is twofold: assess the pricing accuracy of these models and show how the classical hedge of the variance swap in terms of a position in a log-contract and a dynamic trading strategy can be significantly enhanced by using third-order moment swaps. The pricing accuracy was measured under four different pricing error functions. A Monte Carlo simulation was run to take a position in the third moment swap.

The results of the paper are twofold: the pricing accuracy of the Heston (1993) model and that of two Levy models with stochastic time and stochastic volatility are satisfactory; taking a position in third-order moment swaps can significantly improve the performance of the standard hedge of a variance swap.

The limitation is that these empirical tests are conducted on existing three parametric models. Maybe more critical insights could have been revealed had these tests been conducted in a brand new derivatives pricing model.

This work is 100 per cent original, and it undertook empirical tests of the pricing and hedging accuracy of existing three parametric models.

The primary aim of revenue management (RM) is to sell the right product to the right customer at the right time for the right price. Ever since the deregulation of US airline industry, and the emergence of the internet as a distribution channel, RM has come of age. The purpose of this paper is to map out ten turning points in the evolution of Revenue Management taking an historical perspective.

The paper is a chronological account based upon published research and literature fundamentally drawn from the Journal of Revenue and Pricing Management.

The significance and success to RM is attributed to the following turning points: Littlewood’s rule, Expected Marginal Seat Revenue, deregulation of the US air industry, single leg to origin and destination RM, the use of family fares, technological advancement, low-cost carriers, dynamic pricing, consumer and price transparency and pricing capabilities in organizations.

The originality of the paper lies in identifying the core trends or turning points that have shaped the development of RM thus assisting futurists or forecasters to shape the future.

Perhaps the most popular pricing model among Bitcoin enthusiasts is the stock-to-flow (S2F) model. The model gained significant traction after successfully predicting the meteoric rise of Bitcoin prices from late 2020 to early 2021. This paper dissects the S2F model for Bitcoin empirically to determine its viability and investigate whether investors can profit from an S2F-based trading strategy.

This paper, dissects the S2F model for Bitcoin by putting it through a battery of tests to examine its design, characteristics, robustness and appropriateness.

Overall, this paper finds the S2F model to be insensitive to differing assumptions in the early stages of the model, alleviating concerns about data mining. This paper produces a dynamic S2F model with no peek-ahead bias and shows evidence that prediction accuracy increases over time. Finally, this paper shows that a dynamic trading strategy that goes long (short) when Bitcoin is undervalued (overvalued) according to S2F is far less profitable than a classic buy-and-hold strategy.

To the best of the authors’ knowledge, this is the first paper to analyze the S2F model in an academic setting by providing a rigorous assessment of the model's construction. This paper demonstrates how the model can be implemented realistically without the peek-ahead bias, creating a tool that can be used contemporaneously by investors.

The purpose of this paper is to study the efficiency of different oil and gas markets. Most previous studies examined the issue using low frequency date sampled at monthly, weekly, or daily frequencies. In this study, 30-minute intraday data are used to explore efficiency in energy markets.

Sophisticated statistical analysis techniques such as Granger-causality regressions, augmented Dickey-Fuller tests, cointegration tests, vector autoregressions are used to explore the transmission of information between oil and gas energy markets.

This study provides evidence for efficiency in energy markets. The new information that arrives either to futures markets or spot markets is digested correctly, completely, and in a fast manner, and is propagated to the other market. The evidence indicates high efficiency.

This study is one of the first papers that uses 30-minute interval intraday data to investigate efficiency in oil and gas commodity markets.