Forecasting Livestock Feed Cost Risks Using Futures and Options

The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compared in volatility forecasting performance. In general, SVJD is superior to Black's model, though their performance is both commodity-specific and forecasting horizon specific.Livestock Production/Industries, Marketing,

Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options

The central part of pricing agricultural commodity futures options is to find appropriate stochastic process of the underlying assets. The Black's (1976) futures option pricing model laid the foundation for a new era of futures option valuation theory. The geometric Brownian motion assumption girding the Black's model, however, has been regarded as unrealistic in numerous empirical studies. Option pricing models incorporating discrete jumps and stochastic volatility have been studied extensively in the literature. This study tests the performance of major alternative option pricing models and attempts to find the appropriate model for pricing commodity futures options.Marketing,

Managing Livestock Feed Cost Risks Using Futures and Options

The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compared in volatility forecasting performance. In general, SVJD is superior to Black's model, though their performance is both commodity-specific and forecasting horizon specific. The price forecast can assist livestock producers to assess different feed procurement strategies in terms of the distribution of costs projected for each strategy.Risk and Uncertainty,

Development of a high-speed H-alpha camera system for the observation of rapid fluctuations in solar flares

A solid-state digital camera was developed for obtaining H alpha images of solar flares with 0.1 s time resolution. Beginning in the summer of 1988, this system will be operated in conjunction with SMM's hard X-ray burst spectrometer (HXRBS). Important electron time-of-flight effects that are crucial for determining the flare energy release processes should be detectable with these combined H alpha and hard X-ray observations. Charge-injection device (CID) cameras provide 128 x 128 pixel images simultaneously in the H alpha blue wing, line center, and red wing, or other wavelength of interest. The data recording system employs a microprocessor-controlled, electronic interface between each camera and a digital processor board that encodes the data into a serial bitstream for continuous recording by a standard video cassette recorder. Only a small fraction of the data will be permanently archived through utilization of a direct memory access interface onto a VAX-750 computer. In addition to correlations with hard X-ray data, observations from the high speed H alpha camera will also be correlated and optical and microwave data and data from future MAX 1991 campaigns. Whether the recorded optical flashes are simultaneous with X-ray peaks to within 0.1 s, are delayed by tenths of seconds or are even undetectable, the results will have implications on the validity of both thermal and nonthermal models of hard X-ray production

Supernova Resonance--scattering Line Profiles in the Absence of a Photosphere

In supernova spectroscopy relatively little attention has been given to the properties of optically thick spectral lines in epochs following the photosphere's recession. Most treatments and analyses of post-photospheric optical spectra of supernovae assume that forbidden-line emission comprises most if not all spectral features. However, evidence exists which suggests that some spectra exhibit line profiles formed via optically thick resonance-scattering even months or years after the supernova explosion. To explore this possibility we present a geometrical approach to supernova spectrum formation based on the "Elementary Supernova" model, wherein we investigate the characteristics of resonance-scattering in optically thick lines while replacing the photosphere with a transparent central core emitting non-blackbody continuum radiation, akin to the optical continuum provided by decaying 56Co formed during the explosion. We develop the mathematical framework necessary for solving the radiative transfer equation under these conditions, and calculate spectra for both isolated and blended lines. Our comparisons with analogous results from the Elementary Supernova code SYNOW reveal several marked differences in line formation. Most notably, resonance lines in these conditions form P Cygni-like profiles, but the emission peaks and absorption troughs shift redward and blueward, respectively, from the line's rest wavelength by a significant amount, despite the spherically symmetric distribution of the line optical depth in the ejecta. These properties and others that we find in this work could lead to misidentification of lines or misattribution of properties of line-forming material at post-photospheric times in supernova optical spectra.Comment: 37 pages, 24 figures; accepted for publication in ApJ Supplement Serie