Pricing Metal Futures The Two Regime Pricing Model Revisited

Author : Matthias Lassak
Publisher : Diplomica Verlag
ISBN 13 : 3961465827
Total Pages : 101 pages
Book Rating : 4.28/5 ( download)

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Download or read book Pricing Metal Futures. The Two-Regime-Pricing Model revisited written by Matthias Lassak and published by Diplomica Verlag. This book was released on 2017-11-01 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Two-Regime-Pricing (TRP) model developed by Bühler, Korn and Schöbel (2004) is an important bridge between two strands of the literature of commodity futures pricing. It incorporates both the notion of a “convenience yield” and the idea of pricing based on the underlying spot price process. This work uses the TRP model and applies the findings to the pricing of industrial metal futures. In detail, the purpose of this study is to price a variety of futures contracts written on the traded industrial metals Aluminium, Aluminium Alloy, Copper, Lead, Nickel, Tin and Zinc using the TRP model and to analyze ist strengths and weaknesses in doing so. Given the spot price specification, a bootstrap maximum likelihood estimation is performed to determine the model parameters. Given the estimation results, the out-of-sample performance of the TRP model is compared to two benchmark models in the literature. In addition, the behavior of the theoretical futures prices is matched to metal futures properties observed in the market. By outlining the statistical challenges in estimation and forecasting in much detail, this work is valuable for researchers and academics in the field of derivatives pricing.

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Publisher :
ISBN 13 :
Total Pages : 622 pages
Book Rating : 4.67/5 ( download)

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Download or read book Finance Literature Index written by and published by . This book was released on 1994 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Vladimir Filimonov
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.34/5 ( download)

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Download or read book Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets written by Vladimir Filimonov and published by . This book was released on 2013 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Takatoshi Ito
Publisher : University of Chicago Press
ISBN 13 : 0226386899
Total Pages : 346 pages
Book Rating : 4.98/5 ( download)

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Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

Author : Leonardo Martinez-Diaz
Publisher : U.S. Commodity Futures Trading Commission
ISBN 13 : 057874841X
Total Pages : 196 pages
Book Rating : 4.12/5 ( download)

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Download or read book Managing Climate Risk in the U.S. Financial System written by Leonardo Martinez-Diaz and published by U.S. Commodity Futures Trading Commission . This book was released on 2020-09-09 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742

Author : United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.7D/5 ( download)

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Download or read book Reform of the Commodity Exchange Act written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and published by . This book was released on 1997 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.07/5 ( download)

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Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

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Publisher :
ISBN 13 :
Total Pages : 508 pages
Book Rating : 4.93/5 ( download)

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Download or read book The McGraw-Hill Finance Literature Index written by and published by . This book was released on 1996 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Jean Louis Heck
Publisher :
ISBN 13 : 9780070277908
Total Pages : 498 pages
Book Rating : 4.07/5 ( download)

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Download or read book Mcgraw-Hill Finance Literature Index written by Jean Louis Heck and published by . This book was released on 1996 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Anna Chadwick
Publisher : Oxford University Press
ISBN 13 : 0192557211
Total Pages : 220 pages
Book Rating : 4.16/5 ( download)

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Download or read book Law and the Political Economy of Hunger written by Anna Chadwick and published by Oxford University Press. This book was released on 2019-01-31 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an inquiry into the role of law in the contemporary political economy of hunger. In the work of many international institutions, governments, and NGOs, law is represented as a solution to the persistence of hunger. This presentation is evident in the efforts to realize a human right to adequate food, as well as in the positioning of law, in the form of regulation, as a tool to protect society from 'unruly' markets. In this monograph, Anna Chadwick draws on theoretical work from a range of disciplines to challenge accounts that portray law's role in the context of hunger as exclusively remedial. The book takes as its starting point claims that financial traders 'caused' the 2007-8 global food crisis by speculating in financial instruments linked to the prices of staple grains. The introduction of new regulations to curb the 'excesses' of the financial sector in order to protect the food insecure reinforces the dominant perception that law can solve the problem. Chadwick investigates a number of different legal regimes spanning public international law, international economic law, transnational governance, private law, and human rights law to gather evidence for a counterclaim: law is part of the problem. The character of the contemporary global food system-a food system that is being progressively 'financialized'-owes everything to law. If world hunger is to be eradicated, Chadwick argues, then greater attention needs to be paid to how different legal regimes operate to consistently privilege the interests of the wealthy few over the needs of poor and the hungry.