The Locator -- [(subject = "Stochastic processes--Mathematical models")]

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02473cam a2200373Ia 4500
001 FEE3417AFBD011DEB3E93EDF5F36B428
003 SILO
005 20100201083435
008 091120s2009    iau      b   s000 0 eng  
035    $a (OCoLC)467921433
040    $a IWA $c IWA $d SILO $d IOZ $d SILO
070 0  $a SB175 $b .H46 2009
100 1  $a Hennessy, David A.
245 1  $a A crop yield expectation stochastic process with beta distribution as limit / $c David A. Hennessy.
260    $a Ames, Iowa : $b Center for Agricultural and Rural Development, Iowa State University, $c 2009.
300    $a 19 p. ; $c 28 cm.
490 1  $a Working paper ; $v 09-WP 501
500    $a "November 2009."
500    $a Author-supplied keywords: crop insurance, growing degree days, martingale, Pólya urn, stochastic process.
504    $a Includes bibliographical references (p. 15-18).
520 3  $a The modeling of price risk in the theory and practice of commodity risk management has been developed far beyond that of crop yield risk. This is in large part due to the use of plausible stochastic price processes. We use the Pó́lya urn to identify and develop a model of the crop yield expectation stochastic process over a growing season. The process allows a role for agronomic events, such as growing degree days. The model is internally consistent in adhering to the martingale property. The limiting distribution is the beta, commonly used in yield modeling. By applying binomial tree analysis, we show how to use the framework to study hedging decisions and crop valuation.
530    $a Also available on the Internet at: http://www.card.iastate.edu/publications/DBS/PDFFiles/09wp501.pdf
650  0 $a Crop yields $x Mathematical models. $x Mathematical models.
650  0 $a Crop yields $x Economic aspects.
650  0 $a Stochastic processes $x Mathematical models.
710 2  $a Iowa State University. $b Center for Agricultural and Rural Development.
830  0 $a Working paper (Iowa State University. Center for Agricultural and Rural Development) ; $v 09-WP 501.
856 41 $z Connect to the online version of this report in PDF format on the Center's Web site at: $u http://www.card.iastate.edu/publications/DBS/PDFFiles/09wp501.pdf
941    $a 3
952    $l IAOX771 $d 20240710102018.0
952    $l USUX851 $d 20180703064353.0
952    $l OVUX522 $d 20180124061510.0
956    $a http://locator.silo.lib.ia.us/search.cgi?index_0=id&term_0=FEE3417AFBD011DEB3E93EDF5F36B428
994    $a 02 $b IOZ
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