Details about Nicolas Merener

Access statistics for papers by Nicolas Merener.

Last updated 2015-12-26. Update your information in the RePEc Author Service.

Short-id: pme321

Working Papers

2012

1. Globally Distributed Production and Asset Pricing:the Rise of Latin America in CME Soybean Futures
   Business School Working Papers, Universidad Torcuato Di Tella

2010

2. Efficient Monte Carlo for Discrete Variance Contracts
   Business School Working Papers, Universidad Torcuato Di Tella

2009

3. Swap Rate Variance Swaps
   Business School Working Papers, Universidad Torcuato Di Tella
   See also Journal Article Swap rate variance swaps, Quantitative Finance, Taylor & Francis Journals (2012) View citations (2) (2012)

Undated

4. Supply Shocks, Futures Prices, and Trader Positions
   2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California, Agricultural and Applied Economics Association

Journal Articles

2016

1. Concentrated Production and Conditional Heavy Tails in Commodity Returns
   Journal of Futures Markets, 2016, 36, (1), 46-65 View citations (3)

2015

2. Globally Distributed Production and the Pricing of CME Commodity Futures
   Journal of Futures Markets, 2015, 35, (1), 1-30 View citations (4)

2012

3. Swap rate variance swaps
   Quantitative Finance, 2012, 12, (2), 249-261 View citations (2)
   See also Working Paper Swap Rate Variance Swaps, Business School Working Papers (2009) (2009)

2002

4. Numerical solution of jump-diffusion LIBOR market models
   Finance and Stochastics, 2003, 7, (1), 1-27 View citations (26)