Download or read book Time Varying Risk Premia in Futures Markets written by Mr.Manmohan S. Kumar and published by International Monetary Fund. This book was released on 1990-12-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.

Download or read book Time Varying Risk Premia in Futures Markets written by Graciela Kaminsky and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several commodities there is evidence of a time varying risk premium, particularly in futures contracts maturing six months ahead. The implications of the study for the efficiency of the futures markets and the costs of using these markets for hedging are also noted.

Download or read book Debt Risk and Liquidity in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2007-09-17 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions from Jerome Stein and Guay Lim, this book explores debt and liquidity in finance. In three parts it covers developing country debt and currency crises, risk, and risk management in futures markets and liquidity.

Download or read book Pricing Metal Futures The Two Regime Pricing Model revisited written by Matthias Lassak and published by Diplomica Verlag. This book was released on 2017-11-01 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Financial Derivatives written by Rob Quail and published by John Wiley & Sons. This book was released on 2009-10-15 with total page 627 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.

Download or read book Jump Risk Time varying Risk Premia and Technical Trading Profits written by Chenyang Feng and published by . This book was released on 1997 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Successful Investing Is a Process written by Jacques Lussier and published by John Wiley & Sons. This book was released on 2013-01-21 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: A process-driven approach to investment management that lets you achieve the same high gains as the most successful portfolio managers, but at half the cost What do you pay for when you hire a portfolio manager? Is it his or her unique experience and expertise, a set of specialized analytical skills possessed by only a few? The truth, according to industry insider Jacques Lussier, is that, despite their often grandiose claims, most successful investment managers, themselves, can't properly explain their successes. In this book Lussier argues convincingly that most of the gains achieved by professional portfolio managers can be accounted for not by special knowledge or arcane analytical methodologies, but proper portfolio management processes whether they are aware of this or not. More importantly, Lussier lays out a formal process-oriented approach proven to consistently garner most of the excess gains generated by traditional analysis-intensive approaches, but at a fraction of the cost since it could be fully implemented internally. Profit from more than a half-century's theoretical and empirical literature, as well as the author's own experiences as a top investment strategist Learn an approach, combining several formal management processes, that simplifies portfolio management and makes its underlying qualities more transparent, while lowering costs significantly Discover proven methods for exploiting the inefficiencies of traditional benchmarks, as well as the behavioral biases of investors and corporate management, for consistently high returns Learn to use highly-efficient portfolio management and rebalancing methodologies and an approach to diversification that yields returns far greater than traditional investment programs

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 703 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 commodity prices, the real economy, and other financial markets. After an extensive theoretical and practical introduction, the book is divided into four parts: 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 With contributions from well-known academics and practitioners, this volume includes coverage of the fundamental theory of futures/forwards and derivatives pricing for major commodity markets. The contributions to Sections I and II of this volume, which treat storable or agricultural commodities, take speculation into account through a consideration of markets over time being either in backwardation or contango. Up-to-date considerations of both trading and investment are included in Sections I, II, and III. The book also reviews the effects of urbanization and the expanding middle-class population on commodities.

Download or read book Research in Finance written by Andrew H. Chen and published by Emerald Group Publishing. This book was released on 2009-02-20 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains topics that include the design of a country's financial safety nets, the effective policies of acquiring failed banks in reducing moral hazard problems, the voluntary disclosure of real options by corporate managers, and the interrelationship between the housing and general economic activities.

Download or read book Agricultural Commodity Markets and Trade written by Alexander Sarris and published by Edward Elgar Publishing. This book was released on 2006-01-27 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that the viability of many observed market and non-market interventions in agricultural products worldwide depends considerably on the underlying behaviour of the relevant commodity markets. Many of these policies have had distortive impacts, resulting in much discussion and controversy in the context of the World Trade Organization (WTO) Doha Round of trade negotiations.

Download or read book Rational Expectations and Efficiency in Futures Markets written by Barry Goss and published by Routledge. This book was released on 2005-10-09 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do traders in futures markets make use of all relevant information and is this reflected in prices? This collection of original essays by a team of international economists considers these and other questions central to futures markets.

Download or read book Handbook of Economic Expectations written by Ruediger Bachmann and published by Elsevier. This book was released on 2022-11-04 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics

Download or read book Empirical derivative pricing with LME industrial metal data written by Christian Stepanek and published by Cuvillier Verlag. This book was released on 2015-08-27 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is focused on empirical examinations of commodity derivatives. Commodity futures and options are very important for companies in hedging their commodity price risks. Financial institutions participate also in commodity derivative markets either to gain exposure to commodity prices, diversify their portfolios, or hedge commodity price risk from financial transactions. But also retail investors have been more and more interested in commodity investments for some years. Because of their limited access to commodity markets, they have to rely on special commodity SFPs issued by banks. However, in contrast to derivatives with standard underlyings, such as stocks or bonds, there are various specific aspects to commodity derivatives. Especially interesting from academic as well as practitioners’ point of view are the pricing relations between spot and derivative prices, which are closely linked to market fundamentals. But also from the financialization of commodity markets arise several subjects which require scientific examination. I identify in this thesis several unresolved research questions on commodity futures, options, and SFPs. This way it is possible to offer insights in derivative markets for industrial companies, financial institutions, and retail investors alike.

Download or read book The Commitments of Traders Bible written by Stephen Briese and published by John Wiley & Sons. This book was released on 2008-03-31 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regardless of your trading methods, and no matter what markets you’re involved in, there is a Commitments of Traders (COT) report that you should be reviewing every week. Nobody understands this better than Stephen Briese, an industry-leading expert on COT data. And now, with The Commitments of Traders Bible, Briese reveals how to use the predictive power of COT data—and accurately interpret it—in order to analyze market movements and achieve investment success.

Download or read book Financial Mathematics Volatility and Covariance Modelling written by Julien Chevallier and published by Routledge. This book was released on 2019-06-28 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

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.

Download or read book Asset Price Dynamics Volatility and Prediction written by Stephen J. Taylor and published by Princeton University Press. This book was released on 2011-02-11 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.