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Author : Walker Keener Hughen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (166 download)
Download or read book A Maximal Stochastic Volatility Model for Commodity Prices written by Walker Keener Hughen and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : W. Keener Hughen
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Maximal Affine Stochastic Volatility Model of Oil Prices written by W. Keener Hughen and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three-factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi-analytical formulas for futures and options prices. It allows for time-varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean-reversion in the short term and for an increasing expected long term price, and for time-varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil.
Author : Martin Christian Richter
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (464 download)
Download or read book Stochastic Volatility and Seasonality in Commodity Futures and Options written by Martin Christian Richter and published by . This book was released on 2002 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gonzalo Cortazar
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (13 download)
Download or read book A Multifactor Stochastic Volatility Model of Commodity Prices written by Gonzalo Cortazar and published by . This book was released on 2016 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic volatility, provides simple closed-form expressions of commodity futures, and yields analytic formulas of European options on futures. We estimate the model using oil futures and options data, and find that the pricing of traded contracts is accurate for a wide range of maturities and strike prices. The results suggest that at least three risk factors in the spot price volatility are needed to accurately fit the volatility surface of options on oil futures, highlighting the importance of using general multifactor models in pricing commodity contingent claims.
Author : Dennis Alvaro
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (959 download)
Download or read book Modelling the Volatility of Commodities Prices Using a Stochastic Volatility Model with Random Level Shifts written by Dennis Alvaro and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Matías Francisco López Abukalil
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (958 download)
Download or read book A Multifactor Stochastic Volatility Model of Commodity Prices written by Matías Francisco López Abukalil and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Nosotros proponemos una novedosa representación de los precios spot de commodities en la cual el cost-of-carry y la volatilidad del precio spot son ambas explicadas por un nmero arbitrario de factores de riesgo, anidando así muchas de las ya existentes especificaciones. El modelo exhibe unspanned stochastic volatility, provee simples y cerradas expresiones para los precios futuros y entrega fórmulas analíticas para opciones europeas sobre futuros. El modelo es estimado utilizando datos de futuros y opciones sobre petróleo, encontrando que la valorización de los contratos observados es precisa para un amplio rango de madureces y precios de ejercicio. Los resultados sugieren que al menos tres factores de riesgo en la volatilidad del precio spot son necesarios para ajustar correctamente la superficie de volatilidad presente en las opciones sobre futuros de petróleo, destacando así la importancia de usar modelos generales y multifactoriales en la valorización de derivados de commodities.
Author : Max Schöne
Publisher : Springer
ISBN 13 : 3658074930
Total Pages : 114 pages
Book Rating : 4.6/5 (58 download)
Download or read book Real Options Valuation written by Max Schöne and published by Springer. This book was released on 2014-09-27 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common assumptions, prices are often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment project. The valuation results suggest that stochastic process choice can have substantial implications for valuation results and optimal investment rules.
Author : Mr.Noureddine Krichene
Publisher : International Monetary Fund
ISBN 13 : 1451854846
Total Pages : 30 pages
Book Rating : 4.4/5 (518 download)
Download or read book Modeling Stochastic Volatility with Application to Stock Returns written by Mr.Noureddine Krichene and published by International Monetary Fund. This book was released on 2003-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion. Filtering showed highly volatile markets, reflecting frequent pertinent news. Diagnostics showed no model failure, although specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential value for market participants in asset pricing and risk management, as well as for policymakers in the design of macroeconomic policies conducive to less volatile financial markets.
Author : Anders B. Trolle
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (129 download)
Download or read book Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives written by Anders B. Trolle and published by . This book was released on 2016 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate the model on NYMEX crude oil derivatives using an extensive panel data set of 45,517 futures prices and 233,104 option prices, spanning 4082 business days. We find strong evidence for two, predominantly unspanned, volatility factors.
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : Jian Yang
Publisher :
ISBN 13 : 9780542777660
Total Pages : 0 pages
Book Rating : 4.7/5 (776 download)
Download or read book Stochastic Volatility Models written by Jian Yang and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lorenzo Bergomi
Publisher : CRC Press
ISBN 13 : 1482244071
Total Pages : 520 pages
Book Rating : 4.4/5 (822 download)
Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c
Author : Yacine Aït-Sahalia
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (249 download)
Download or read book Maximum Likelihood Estimation of Stochastic Volatility Models written by Yacine Aït-Sahalia and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models. Using Monte Carlo simulations, we compare a full likelihood procedure, where an option price is inverted into the unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We apply this method to market prices of index options for several stochastic volatility models, and compare the characteristics of the estimated models. The evidence for a general CEV model, which nests both the affine model of Heston (1993) and a GARCH model, suggests that the elasticity of variance of volatility lies between that assumed by the two nested models.
Author : Benjamin Cheng
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing of Long-Dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates written by Benjamin Cheng and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aiming to study pricing of long-dated commodity derivatives, this paper presents a class of models within the Heath, Jarrow, and Morton (1992) framework for commodity futures prices that incorporates stochastic volatility and stochastic interest rate and allows a correlation structure between the futures price process, the futures volatility process and the interest rate process. The functional form of the futures price volatility is specified so that the model admits finite dimensional realisations and retains affine representations, henceforth quasi-analytical European futures option pricing formulae can be obtained. A sensitivity analysis reveals that the correlation between the interest rate process and the futures price process has noticeable impact on the prices of long-dated futures options, while the correlation between the interest rate process and the futures price volatility process does not impact option prices. Furthermore, when interest rates are negatively correlated with futures prices then option prices are more sensitive to the volatility of interest rates, an effect that is more pronounced with longer maturity options.
Author : Mr.Rabah Arezki
Publisher : International Monetary Fund
ISBN 13 : 1463925964
Total Pages : 23 pages
Book Rating : 4.4/5 (639 download)
Download or read book The Relative Volatility of Commodity Prices written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2011-12-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather the literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.
Author : Jilong Chen
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing Commodity Futures Options in the Schwartz Multi Factor Model with Stochastic Volatility written by Jilong Chen and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate the applicability of the asymptotic approach developed in Fouque et al. (2000) for pricing commodity futures options in a Schwartz (1997) multi factor model, featuring both stochastic convenience yield and stochastic volatility. We show that the zero order term in the expansion coincides with the Schwartz (1997) two factor term, with expected long-term volatility replacing the constant volatility term, and provide an explicit expression for the first order correction term. Using empirical data from the natural gas futures market, we demonstrate that a significantly better calibration can be achieved by involving the correction term as compared to the standard Schwartz (1997) two factor expression. This improvement comes at virtually no extra effort.
Author : Svetlana Borovkova
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Commodity Forward Curves with Stochastic Time Change written by Svetlana Borovkova and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT. Using a powerful technique of stochastic time change, we introduce a new two factor commodity price model, where one of the fundamental factors is the activity rate of the stochastic clock. This factor implicitly introduces stochastic volatility into the model. The model is developed under both physical and risk neutral probability measures, which allows for a wide range of applications ranging from derivatives pricing to risk management.
