A Double Correlated Three Factor Model for a Crude Oil Market PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Double Correlated Three Factor Model for a Crude Oil Market PDF full book. Access full book title A Double Correlated Three Factor Model for a Crude Oil Market by Gaetano Fileccia. Download full books in PDF and EPUB format.
Author: Gaetano Fileccia
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Get Book Here
Book Description
In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and techniques in finance deals with risk neutral modeling or with modeling under the historical measure, the purpose of this work is to study the estimation problem under both measures at the same time, through a suitable parametric choice of the Radon-Nikodym derivative.To conduct this estimation we resort to a recent technique in Bayesian inference: the Particle Markov Chain Monte Carlo proposed by Andrieu, Doucet and Holenstein (2010), in which particle filters algorithms are used to estimate the marginal likelihood needed to perform a Markov Chain Monte Carlo inference.We adopt a three factors model to describe the dynamics of the spot price, including a stochastic dynamics for both the volatilty and the convenience yield. For the present model the futures prices and future options prices are available in closed form. Two versions of the original model, with and without jumps in spot prices, are taken into account and results are compared. A comparison is also provided between these models and that originally proposed by Liu and Tang (2011). The inference analysis shows that volatility and jumps improve significantly the ability of the model in capturing both the risk-neutral and the historical dynamics features.
Author: Gaetano Fileccia
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
Get Book Here
Book Description
In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and techniques in finance deals with risk neutral modeling or with modeling under the historical measure, the purpose of this work is to study the estimation problem under both measures at the same time, through a suitable parametric choice of the Radon-Nikodym derivative.To conduct this estimation we resort to a recent technique in Bayesian inference: the Particle Markov Chain Monte Carlo proposed by Andrieu, Doucet and Holenstein (2010), in which particle filters algorithms are used to estimate the marginal likelihood needed to perform a Markov Chain Monte Carlo inference.We adopt a three factors model to describe the dynamics of the spot price, including a stochastic dynamics for both the volatilty and the convenience yield. For the present model the futures prices and future options prices are available in closed form. Two versions of the original model, with and without jumps in spot prices, are taken into account and results are compared. A comparison is also provided between these models and that originally proposed by Liu and Tang (2011). The inference analysis shows that volatility and jumps improve significantly the ability of the model in capturing both the risk-neutral and the historical dynamics features.
Author: M. A. H. Dempster
Publisher: CRC Press
ISBN: 1498712339
Category : Business & Economics
Languages : en
Pages : 725
Get Book Here
Book Description
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
Author: Roberto Araldi
Publisher: EGEA spa
ISBN: 8823811856
Category : Business & Economics
Languages : en
Pages : 170
Get Book Here
Book Description
During the present period of uncertain and sluggish growth in the economic cycle, commodities markets are more than ever under scrutiny by financial analysts. The general up-trend in staple raw materials is due to factors that traditionally capture the interest of commodities investors. They alone do not explain the extraordinary recovery characterizing prices of the main commodities. Another fundamental element explaining this phenomenon is the robust continuous purchases made by high-growth nations such as China and India. Another possible explanation states that correlations between different raw materials exist. The primary goal of this book is therefore to provide a detailed analysis of commodities markets. By focusing on existing correlations amongst various raw material groups the aim is to demonstrate that the commodities marketŐs recovery over the last year or so is strictly related to the increase in petroleum prices based on the spill-over effect. Furthermore, the book includes an investment simulation based on the correlation analyses conducted in the main body of the study. This provides empirical data to sustain the strategies and thesis herein contained.
Author: Charles Tijus
Publisher: World Scientific
ISBN: 9811228019
Category : Education
Languages : en
Pages : 1004
Get Book Here
Book Description
This volume represents the proceedings of the 3rd Eurasian Conference on Educational Innovation 2020 (ECEI 2020). Thes conference is organized by the International Institute of Knowledge Innovation and Invention (IIKII), and was held on February 5-7, 2020 in Hanoi, Vietnam.ECEI 2020 provides a unified communication platform for researchers in a range of topics in education innovation and other related fields. This proceedings volume enables interdisciplinary collaboration of science and engineering technologists. It is a fine starting point for establishing an international network in the academic and industrial fields.
Author: Satyajit Chakrabarti
Publisher: Taylor & Francis
ISBN: 1040017568
Category : Business & Economics
Languages : en
Pages : 308
Get Book Here
Book Description
This book presents different perspectives in finance and the adoption of digital tools in business in India. It discusses key issues in strategy, organisation, and management for businesses focussing on practical and actionable guidance and innovative tools which offer insights into the formulation and implementation of effective strategies and solutions. The book also looks at the adoption of new digital tools and strategies in different areas of business and management and ways in which these tools can be employed in business analysis, strategy, risk assessment, and management. It presents an overview of the application of new technologies in the industrial, banking, corporate, and agriculture sectors, among others, all aimed at increasing performance and profitability, assessing financial risk and volatility, and improving customer and employee experience. Part of the Contemporary Management Practices series, this book will be useful to practicing managers, researchers, and students who are interested in business and financial strategy, social inclusion, e-business, social entrepreneurship, information management, finance, and banking.
Author: Riccardo Rebonato
Publisher: Princeton University Press
ISBN: 0691089736
Category : Business & Economics
Languages : en
Pages : 485
Get Book Here
Book Description
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer. Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness. Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.
Author: Glen Swindle
Publisher: Cambridge University Press
ISBN: 1107729491
Category : Business & Economics
Languages : en
Pages : 499
Get Book Here
Book Description
Valuation and Risk Management in Energy Markets surveys the mechanics of energy markets and the valuation of structures commonly arising in practice. The presentation balances quantitative issues and practicalities facing portfolio managers, with substantial attention paid to the ways in which common methods fail in practice and to alternative methods when they exist. The material spans basic fundamentals of markets, statistical analysis of price dynamics, and a sequence of increasingly challenging structures, concluding with issues arising at the enterprise level. In totality, the material has been selected to provide readers with the analytical foundation required to function in modern energy trading and risk management groups.
Author: Jon Gregory
Publisher: John Wiley & Sons
ISBN: 1119508975
Category : Business & Economics
Languages : en
Pages : 709
Get Book Here
Book Description
A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia. Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA terms Explains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivatives Covers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivatives Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVA Underscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuation Explains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustments Explains all of the valuation adjustments – CVA, DVA, FVA, ColVA, MVA and KVA – in detail and how they fit together Covers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.
Author:
Publisher: Springer
ISBN: 1349588024
Category : Law
Languages : en
Pages : 7493
Get Book Here
Book Description
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author: P. Ingram
Publisher: Elsevier
ISBN: 0762309032
Category : Business & Economics
Languages : en
Pages : 409
Get Book Here
Book Description
In this exciting volume, a diverse and accomplished group of scholars work to integrate theories of institutions with strategic management. The research they present examines a wide range of industrial contexts, ranging from American retailing at the end of the nineteenth century, to German tax law at the beginning of the twenty-first.
