The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield

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ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield by : Katsushi Nakajima

Download or read book The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield written by Katsushi Nakajima and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the Hamilton-Jacobi-Bellman equation and Feynman-Kac formula, we derive relations between spot, forward, and futures prices. The convenience yield can be interpreted as shadow price of storage, short selling constraints, and limits of risk. We compare our result with the existing models. The optimal production plan and trading strategy for spot commodity and forward are also derived.

Commodities

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Publisher : CRC Press
ISBN 13 : 1498712339
Total Pages : 725 pages
Book Rating : 4.4/5 (987 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi

Short-term Variations and Long-term Dynamics in Commodity Prices

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Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Short-term Variations and Long-term Dynamics in Commodity Prices by : Eduardo S. Schwartz

Download or read book Short-term Variations and Long-term Dynamics in Commodity Prices written by Eduardo S. Schwartz and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Economics of Futures Trading

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Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.4/5 (91 download)

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Book Synopsis The Economics of Futures Trading by : B. A. Goss

Download or read book The Economics of Futures Trading written by B. A. Goss and published by John Wiley & Sons. This book was released on 1976 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodity Price Dynamics

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Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 238 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis Commodity Price Dynamics by : Craig Pirrong

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.

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

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Publisher : International Monetary Fund
ISBN 13 : 1455208876
Total Pages : 37 pages
Book Rating : 4.4/5 (552 download)

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Book Synopsis How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock by : Mr.Shaun K. Roache

Download or read book How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock written by Mr.Shaun K. Roache and published by International Monetary Fund. This book was released on 2010-09-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interest rates, which means that such shocks lead to an adjustment back towards a stable equilibrium. We find evidence that the adjustment is somewhat consistent with well-known theoretical models, such as Pindyck (2001); in other words, spot prices rise and then fall, while inventories are used to absorb the shock. Importantly, the pace and nature of the adjustment depends upon whether inventories were initially high or low, which introduces significant nonlinearities into the adjustment process.

The Present Value Model of Rational Commodity Pricing

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ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis The Present Value Model of Rational Commodity Pricing by : Robert S. Pindyck

Download or read book The Present Value Model of Rational Commodity Pricing written by Robert S. Pindyck and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present value model says that an asset's price equals the sum of current and future discounted expected future payoffs from ownership of the asset. I explore the limits of the present value model by testing its ability to explain the pricing of storable commodities. For commodities the payoff stream is the convenience yield that accrues from holding inventories, and it can be measured directly from spot and future prices. The present value model imposes restrictions on the joint dynamics of spot and future prices, which I test for four commodities. I find a close conformance to the model for heating oil, but not for copper or lumber, and especially not for gold. The pattern is the same when one looks at the serial dependence of excess returns. These results suggest that for three of the four commodities, prices at least temporarily deviate from fundamentals.

Selected Writings on Futures Markets

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Publisher :
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis Selected Writings on Futures Markets by :

Download or read book Selected Writings on Futures Markets written by and published by . This book was released on 1983 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodities

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Publisher : Oxford University Press
ISBN 13 : 0190656026
Total Pages : 681 pages
Book Rating : 4.1/5 (96 download)

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Book Synopsis Commodities by : H. Kent Baker

Download or read book Commodities written by H. Kent Baker and published by Oxford University Press. This book was released on 2018-03-06 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities: Markets, Performance, and Strategies provides a comprehensive view of commodity markets by describing and analyzing historical commodity performance, vehicles for investing in commodities, portfolio strategies, and current topics. It begins with the basics of commodity markets and various investment vehicles. The book then highlights the unique risk and return profiles of commodity investments, along with the dangers from mismanaged risk practices. The book also provides important insights into recent developments, including high frequency trading, financialization, and the emergence of virtual currencies as commodities. Readers of Commodities: Markets, Performance, and Strategies can gain an in-depth understanding about the multiple dimensions of commodity investing from experts from around the world. Commodity markets can be accessed with products that create unique risk and return dynamics for investors worldwide. The authors provide insights in a range of areas, from the economics of supply and demand for individual physical commodities through the financial products used to gain exposure to commodities. The book balances useful practical advice on commodity exposure while exposing the reader to various pitfalls inherent in these markets. Readers interested in a basic understanding will benefit as will those looking for more in-depth presentations of specific areas within commodity markets. Overall, Commodities: Markets, Performance, and Strategies provides a fresh look at the myriad dimensions of investing in these globally important markets.

Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading

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Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading by : Katsushi Nakajima

Download or read book Commodity Spot and Futures Prices Under Supply, Demand, and Financial Trading written by Katsushi Nakajima and published by . This book was released on 2015 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the relationships of commodity spot and futures prices with convenience yield. Convenience yield is received by the owner of a spot commodity but not by the owner of the right to the commodity (e.g., futures). This is the first study to explicitly model commodity spot and futures prices using firms and speculators (i.e., supply and demand of a commodity). We found that spot and futures prices are related to convenience yield. Based on this we were able identify the structure of convenience yield, which can be decomposed into two components: yield and cost. Furthermore, these relations offer a basis for at least three ways of interpreting convenience yield. We obtained similar results using models that consider cash settlement and hedging with output commodity futures. We found that, when speculators are introduced, the differences in valuation of the futures price between risk-neutral and risk-averse entities consisted of future marginal storage costs plus convenience yield on futures. Thus, convenience yield arises from heterogeneous agents. Our model can be generalized to include multiple firms that take multiple input and output commodities and multiple speculators. We also derived the optimal production and trading strategy for spot commodities and futures, and we define and prove the existence of the equilibrium for this economy using additional assumptions.

An Approximation for Convenience Yield in Commodity Futures Pricing

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis An Approximation for Convenience Yield in Commodity Futures Pricing by : Richard A. Heaney

Download or read book An Approximation for Convenience Yield in Commodity Futures Pricing written by Richard A. Heaney and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The pricing of commodity futures contracts is important both for professionals and for academics. It is often argued that futures prices include a convenience yield and this paper uses a simple trading strategy to approximate the impact of convenience yields. The approximation requires only three variables, underlying asset price volatility; futures contract price volatility and the futures contract time to maturity. The approximation is tested using spot and futures prices from the London Metals Exchange contracts for copper, lead and zinc with quarterly observations drawn from a 25-year period, 1975 to 2000. Matching Euro-Market interest rates are used to estimate the risk free rate. The convenience yield approximation is found to be both statistically and economically important in explaining variation between the futures price and the spot price after adjustment for interest rates.

The Handbook of Commodity Investing

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Publisher : John Wiley & Sons
ISBN 13 : 0470293209
Total Pages : 986 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi

Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.

Commodities

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Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

The Theory of Futures Trading

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Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (42 download)

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Book Synopsis The Theory of Futures Trading by : Lalgudi S. Venkataramanan

Download or read book The Theory of Futures Trading written by Lalgudi S. Venkataramanan and published by . This book was released on 1965 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Equilibrium in Commodity Futures Markets

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Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Equilibrium in Commodity Futures Markets by : Frederick L. A. Grauer

Download or read book Equilibrium in Commodity Futures Markets written by Frederick L. A. Grauer and published by . This book was released on 1977 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodities and Commodity Derivatives

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Publisher : John Wiley & Sons
ISBN 13 : 0470687738
Total Pages : 479 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Commodities and Commodity Derivatives by : Helyette Geman

Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV

The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity

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Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity by : Costanza Torricelli

Download or read book The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity written by Costanza Torricelli and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: