Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Risk Premium On Crude Oil Futures Prices full books in PDF, epub, and Kindle. Read online Risk Premium On Crude Oil Futures Prices ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Hongbo Liao
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (864 download)
Download or read book Risk Premium on Crude Oil Futures Prices written by Hongbo Liao and published by . This book was released on 2013 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Douglas Hamilton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (843 download)
Download or read book Risk Premia in Crude Oil Futures Prices written by James Douglas Hamilton and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in which the duration of observed contracts changes with each observation. We document significant changes in oil futures risk premia since 2005, with the compensation to the long position smaller on average in more recent data. This observation is consistent with the claim that index-fund investing has become more important relative to commerical hedging in determining the structure of crude oil futures risk premia over time.
Author : Reinhard Ellwanger
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (11 download)
Download or read book On the Tail Risk Premium in the Oil Market written by Reinhard Ellwanger and published by . This book was released on 2017 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christiane Baumeister
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (1 download)
Download or read book A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil written by Christiane Baumeister and published by . This book was released on 2016 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting the futures price by the estimated risk premium, a common problem is that there are as many measures of the market expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the most accurate estimate of the expectation for any set of risk premium estimates. We illustrate this approach by solving the long-standing problem of how to estimate the market expectation of the price of crude oil. We provide a new measure of oil price expectations that is substantially more accurate than the alternatives and more economically plausible. Our analysis has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting and for the measurement of oil price shocks.
Author : Daniele Valenti
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (19 download)
Download or read book Interpreting the Oil Risk Premium written by Daniele Valenti and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qixiang Gao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Market Attitudes Under Uncertainty written by Qixiang Gao and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the predictability of volatility risk premia in WTI crude oil futures markets under an uncertain environment. I find that a nontrivial fraction of the magnitude and the direction of the volatility risk premium can be explained by the unforeseeable fluctuations in macroeconomic and financial indicators. Although the previous literature has shown that most of the risk factors (for example, book-to-market ratio and momentum) used in capital asset pricing models are not responsible for variations in the volatility risk premium, I find evidence that the effects of some of the indicators like open interest momentum and growth rate of market interest could be enhanced when taking uncertainty into consideration. The effects of market participants' behaviors and risk attitudes are strongly correlated with uncertainty, and the cost of hedging against futures price variance will increase if uncertainty in the macroeconomic environment is high.
Author : Xin (Shane) Gao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Relative Pricing of WTI and Brent Crude Oil Futures written by Xin (Shane) Gao and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the spread of Brent-WTI futures prices using a no-arbitrage term structure model with one common and two latent idiosyncratic risk factors. We document more negative risk premia for WTI than for Brent, and the differences are more pronounced at longer maturities. The expectation of future spot price dominates the risk premium in determining the term structure of Brent-WTI futures spread, especially at short maturities. The common risk premia in both markets are negative and similar, while their corresponding idiosyncratic risk premia have opposite signs. The common risk prices of WTI and Brent are generally related to the US crude commercial stock, inflation, economic uncertainty, and hedging pressure; however, idiosyncratic risk prices are more related to their corresponding local production, short rate, and the term structure factors. The variance decomposition indicates that the idiosyncratic factors account for a considerable part at longer forecast horizons in both markets.
Author : Patrizio Pagano
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.X/5 (3 download)
Download or read book Risk-adjusted Forecasts of Oil Prices written by Patrizio Pagano and published by . This book was released on 2006 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : T. James
Publisher : Springer
ISBN 13 : 1403946043
Total Pages : 553 pages
Book Rating : 4.4/5 (39 download)
Download or read book Energy Price Risk written by T. James and published by Springer. This book was released on 2002-12-03 with total page 553 pages. Available in PDF, EPUB and Kindle. Book excerpt: Energy Price Risk was inspired by the success of the courses Tom James has been running in global energy and commodities trading and price risk management. It is the practitioner's guide to optimizing company performance using the correct price risk strategies and tools. Based on the author's extensive experience in the commodity derivatives industry, it comprehensively covers the full spectrum of the energy complex, including crude oil, petroleum products, natural gas, LPG/LNG and electricity. Using many worked examples, this book offers practical insights and solutions.
Author : Sally Clubley
Publisher : CRC Press
ISBN 13 : 9780849305191
Total Pages : 160 pages
Book Rating : 4.3/5 (51 download)
Download or read book Trading in Oil Futures and Options written by Sally Clubley and published by CRC Press. This book was released on 1998-10-15 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading in Oil Futures and Options, thoroughly revised and updated, provides practical advice on when to make the decision to use futures; choosing a broker; and the mechanics of futures trading. This new edition has been extended to include all oil market trading instruments, and also gas and electricity derivatives. Updates the only comprehensive guide to oil futures and options Presents an international outlook on the topic Features a chapter on technical analysis and an appendix on the costs of futures trading
Author : Mr.Peter Wickham
Publisher : International Monetary Fund
ISBN 13 : 1451954727
Total Pages : 20 pages
Book Rating : 4.4/5 (519 download)
Download or read book Volatility of Oil Prices written by Mr.Peter Wickham and published by International Monetary Fund. This book was released on 1996-08-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.
Author : Bingxin Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Two Essays on Crude Oil Futures and Options Markets written by Bingxin Li and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on crude oil futures and options markets. The first essay investigates whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. Using crude oil futures and option data, I estimate aggregate risk aversion in the crude oil market and find that it is signi ficantly lower after 2002, when speculative activity started to increase. Using speculation index as a state variable, risk premiums implied by the state-dependent risk aversion estimates confi rm the negative correlation between speculative activity and risk premiums, and indicate that risk premiums in the crude oil market are on average lower and more volatile after 2002. These findings suggest that index-fund investors who demand commodity futures for the purpose of portfolio diversi fication are willing to accept lower compensation for their positions. Estimated state-dependent risk premiums have substantial predictive power for subsequent futures returns and outperform commonly used predictors. The second essay exams the economic importance of jumps, jump risk premiums, and dynamic jump intensities in crude oil futures and options markets. Existing pricing models for crude oil options are computationally intensive due to the presence of latent state variables. Using a panel data of crude oil futures and options, I implement a class of computationally e fficient discrete-time jump models. I find that jumps account for about half of the total variance in crude oil futures and options prices, and a substantial part of the risk premiums is due to jumps. Jumps are large and rare events in crude oil futures and options markets. The main role of jumps and jump risk premiums in crude oil futures and options markets is to capture excess kurtosis in the data. These findings suggest that it is critical to include jumps in pricing models for crude oil futures and options, and there is strong evidence in favor of time-varying jump intensities.
Author : Alexander David
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (13 download)
Download or read book Exploration Activity, Long-Run Decisions, and the Risk Premium in Energy Futures written by Alexander David and published by . This book was released on 2018 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment by oil firms positively affects the futures basis and negatively predicts excess returns on crude oil futures. I build an equilibrium model of drilling, exploration, and storage to understand these facts. Firms' capital stock lowers extraction costs as firms drill in increasingly expensive fields. Drilled wells produce the resource at a geometrically declining rate; however, by specifying consumers' habit level equaling production from old wells, the futures basis and risk premium are only related to drilling, investment, and inventory. Investment leads to a more elastic drilling response by firms and dampens oil price increases from demand shocks, thus lowering the risk premium.
Author : Christian Sadrinna
Publisher : GRIN Verlag
ISBN 13 : 3640635876
Total Pages : 89 pages
Book Rating : 4.6/5 (46 download)
Download or read book Hedging Energy Risks with Derivative Instruments in Oil Trading written by Christian Sadrinna and published by GRIN Verlag. This book was released on 2010-06-02 with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2010 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,2, University of Applied Sciences Essen, language: English, abstract: The financial crisis has proven how volatile markets can become within a very shor t period of time. One commodity that went through peaks and troughs is without doubt oil. A wide range of companies with business activities relying on the commodity and stable pricing, also went through highs and lows, whilst some went into liquidation. This circumstance let many companies think carefully about their risk exposure and how they effectively can manage it. This paper shows that: The main exercise to mitigate risk is a well-structured risk management operation which deliver the fundamentals for an effective usage of derivative instruments. Prior to any securing activity with swaps or options, companies must pin-point their current risk position, portfolios and their values. On this, the classical portfolio theory with the various modern extensions and portfolio analysis tools deliver a good concept for this question, however, oil has cer tain characteristics which companies need to take into consideration. Furthermore, the portfolio theory may not helping to mitigate risk that is driven by economic factors, hence, spreading risk in an essential part, but some risks can only be addressed other means. All variables may be used to derive, the hedging strategy, time horizon and trading instrument. Especially for the instruments, the paper shows a wide range of commonly used instruments and how they can be applied for distinct oil risk issues.
Author : Mr.Manmohan S. Kumar
Publisher : International Monetary Fund
ISBN 13 : 1451951116
Total Pages : 54 pages
Book Rating : 4.4/5 (519 download)
Download or read book Forecasting Accuracy of Crude Oil Futures Prices written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1991-10-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared with that of forecasts using alternative techniques, including time series and econometric models, as well as judgemental forecasts. The paper also explores the predictive power of futures prices by comparing the forecasting accuracy of end-of-month prices with weekly and monthly averages, using a variety of different weighting schemes. Finally, the paper investigates whether the forecasts from using futures prices can be improved by incorporating information from other forecasting techniques.
Author : George Xianzhi Yuan
Publisher : World Scientific
ISBN 13 : 9811223211
Total Pages : 274 pages
Book Rating : 4.8/5 (112 download)
Download or read book Cme Vulnerability, The: The Impact Of Negative Oil Futures Trading written by George Xianzhi Yuan and published by World Scientific. This book was released on 2020-10-23 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2020, the global lockdowns caused by the COVID-19, or coronavirus, pandemic had resulted in a sharp drop in demand for crude oil. This impact was so severe that on April 8, 2020, a proposal to update the Chicago Mercantile Exchange Holdings Inc. (CME) trading rule to permit negative prices was applied to CME's WTI Oil futures contracts; this led to a novel phenomenon in which the closing clearing price of WTI Oil May future was $-37.63/barrel based on fewer than 400 contracts' trading volume in the last three minutes, reflecting less than 0.2% of the total trading contracts volume on April 20, 2020. This occurrence of negative closing clearing price for CME's WTI Oil futures trading, cannot be explained simply by just the principle of supply and demand; instead, it highlights vulnerabilities caused by CME's allowance of negative price trading (based on its trading platform), a decision which brings potential and fundamental challenges to the global financial system.This event challenges not just our basic concepts of 'value' and trading 'price' of commodities and goods that underline our understanding of the framework for the invisible hand and general equilibrium theory in economics established by a few generations of scholars since Adam Smith in 1776 for market economies, but also have wider implications on the fundamentals that underpin our ideas of value and labor in the organization, activity, and behavior of civilizations and individual liberties.The scope of this book is limited to covering the impact of the negative oil futures derivatives' trading between April 20 and 21, 2020. This book focuses on exploring the issues, challenges, and possible impacts on global financial markets due to the negative clearing prices of WTI Oil futures contracts and related problems from different perspectives. Topics covered include the responsibilities and liabilities of the CME; critique to the fundamental theory of economics and the modern understanding of value and labor; and challenges to the global financial systems and businesses and introduction to new methods of application.
Author : Ilia Bouchouev
Publisher : Springer Nature
ISBN 13 : 3031361512
Total Pages : 345 pages
Book Rating : 4.0/5 (313 download)
Download or read book Virtual Barrels written by Ilia Bouchouev and published by Springer Nature. This book was released on 2024-01-05 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil. This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century. Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice.
