Cantitate/Preț
Produs

Pricing Metal Futures. The Two-Regime-Pricing Model revisited: Alternative Investments17

Autor Matthias Lassak
en Limba Engleză Paperback – 22 noi 2017
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.
Citește tot Restrânge

Preț: 28074 lei

Nou

Puncte Express: 421

Preț estimativ în valută:
5376 5815$ 4479£

Carte disponibilă

Livrare economică 20 noiembrie-04 decembrie

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9783961465828
ISBN-10: 3961465827
Pagini: 100
Ilustrații: 41 Abbildungen
Dimensiuni: 148 x 210 x 7 mm
Greutate: 0.13 kg
Editura: Diplomica Verlag
Colecția Alternative Investments17
Seria Alternative Investments17