Published & Forthcoming papers

• Merener, N & Matt Davison. Equilibrium and Real Options in the Ethanol Industry: Modelling and Empirical Evidence. Forthcoming at the Journal of Commodity Markets, 2022.

• Merener, N. & Steglich M. E. (2018) Output Value Risk for Commodity Producers: The Uncertain Benefits of Diversification. World Development, vol. 101, pp. 322-333.

• Merener. N. (2016). Concentrated Production and Conditional Heavy Tails in Commodity Returns. The Journal of Futures Markets, vol. 36 (1), pp. 46-65.

• Merener, N., Moyano, R, Stier-Moses, N. & Watfi, P. (2016). Optimal Trading and Shipping of Agricultural Commodities. Journal of the Operational Research Society, vol. 67, pp. 114–126. Summarized in the Global Commodities Research Digest from the JP Morgan Commodities Center at CU Denver.

• Merener, N. (2015). Globally Distributed Production and the Pricing of CME Commodity Futures. The Journal of Futures Markets, vol. 35 (1), pp. 1-30.

• Merener, N. & Vicchi, L. (2015). Efficient Monte Carlo for Discrete Variance Contracts. The Journal of Computational Finance, vol. 18 (3), pp. 1-27.

• Merener, N. (2012). Swap Rate Variance Swaps. Quantitative Finance, vol .12 (2), pp. 249-261.

• Merener, N. (2009). Libor Volatility Derivatives, in Mercurio, F. (ed.). Modelling Interest Rates. London: Risk Books.

• Glasserman, P & Merener, N. (2004). Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities. Proceedings of the Royal Society A, vol. 460 (2041), pp. 111-127.

• Glasserman, P. & Merener, N. (2003). Cap and Swaption Approximations in Libor Market Models with Jumps. The Journal of Computational Finance, vol. 7 (1), pp. 1-36.

• Glasserman, P. & Merenerm N. (2003). Numerical Solution of Jump-Diffusion Libor Market Models. Finance and Stochastics, vol. 7 (1), pp. 1-28.

• Boyd, P., Mindlin, G. & Merener, N. (1998). Low Dimensional Dynamics outside the Laboratory: the case of roAp stars. Europhysics Letters, vol. 42 (1), pp. 111-127.

Working papers

• Baldi, F. & Merener, N. Displacement Risk in Agricultural Commodity Markets: The Impact of Plant-Based Meat.

• Davison, M. & Merener, N. Equilibrium and Real Options in the Ethanol Industry: Modelling and Empirical Evidence.