منابع مشابه
Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model
This paper shows pricing and hedging efficiency of a three factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown to fit the data well. Furthermore, it shows how to hedge based on a three-factor model and confirms that using t...
متن کاملAnalyzing Capacity Withholding in Oligopoly Electricity Markets Considering Forward Contracts and Demand Elasticity
In this paper capacity withholding in an oligopolistic electricity market that all Generation Companies (GenCos) bid in a Cournot model is analyzed and the capacity withheld index, the capacity distortion index and the price distortion index are obtained and formulated. Then a new index, Distortion-Withheld Index (DWI), is proposed in order to measure the potential ability of market for capacit...
متن کاملMemory in Returns and Volatilities of Commodity Futures’ Contracts
Various authors claim to have found evidence of stochastic long memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Results based on these new methods provide no evidence...
متن کاملMemory in Returns and Volatilities of Futures’ Contracts
Various authors claim to have found evidence of stochastic long-memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemory parameter. Results based on these new methods...
متن کاملSpot, Forward, and Futures Libor Rates
The properties of forward and futures interest-rate contracts associated with a given collection of reset dates are studied within the frameworks of the Gaussian HJM model and the lognormal model of Libor rates. We focus on the dynamics and distributional properties of spot, forward, and futures Libor rates under spot and forward martingale measures.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mediterranean Journal of Social Sciences
سال: 2015
ISSN: 2039-9340,2039-2117
DOI: 10.5901/mjss.2015.v6n2p435