COMMODITY FUTURES TERM STRUCTURE MODEL
نویسندگان
چکیده
منابع مشابه
On Term Structure Models of Commodity Futures Prices and the Kaldor-Working Hypothesis by
Both prices and the volatility of storable agricultural commodity futures contracts have been rising since 2005 and particularly since 2007. This paper aims to answer two principal questions: (i) How has the behavior of these futures prices over time and across maturities changed with the rise of biofuels and their demand-side pressure on corn and related crops?, and (ii) Is there now stronger ...
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Merchants operations involves valuing and hedging the cash flows of commodity and energy conversion assets as real options based on stochastic models that inevitably embed model error. In this paper we quantify how empirically calibrated model errors about the futures price term structure affect the valuation and hedging of commodity storage assets, specifically the storage of natural gas, an i...
متن کاملMerchant Commodity Storage and Term Structure Model Error
Merchants operations involves valuing and hedging the cash flows of commodity and energy conversion assets as real options based on stochastic models that inevitably embed model error. In this paper we quantify how empirically calibrated model errors concerning the futures term structure affect the valuation and hedging of natural gas storage. We find that even small futures price model errors ...
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ژورنال
عنوان ژورنال: Bulletin of the Korean Mathematical Society
سال: 2014
ISSN: 1015-8634
DOI: 10.4134/bkms.2014.51.6.1791