Pricing Metal Futures The Two Regime Pricing Model Revisited
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Pricing Metal Futures The Two Regime Pricing Model Revisited
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Author : Matthias Lassak
language : en
Publisher: Diplomica Verlag
Release Date : 2017-11-01
Pricing Metal Futures The Two Regime Pricing Model Revisited written by Matthias Lassak and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-01 with Business & Economics categories.
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.
Pricing Metal Futures The Two Regime Pricing Model Revisited
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Author : Matthias Lassak
language : en
Publisher:
Release Date : 2017
Pricing Metal Futures The Two Regime Pricing Model Revisited written by Matthias Lassak and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Indirekte Infrastrukturinvestments Eine Entscheidungshilfe F R Institutionelle Investoren
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Author : Ludwig Basel
language : de
Publisher: Diplomica Verlag
Release Date : 2017-12-01
Indirekte Infrastrukturinvestments Eine Entscheidungshilfe F R Institutionelle Investoren written by Ludwig Basel and has been published by Diplomica Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-01 with Business & Economics categories.
Das anhaltende Niedrigzinsumfeld führt zu sinkenden Erträgen im Bankensektor. Davon besonders betroffen sind Kreditinstitute, deren Geschäftsmodell stark vom Kredit- und Einlagengeschäft abhängig ist. Dazu zählen in Deutschland vor allem Sparkassen und Genossenschaftsbanken. Auf der Suche nach Ertragsalternativen sind Infrastrukturinvestments für regionaltätige Institute eine mögliche und zugleich häufig eine völlig neue Anlageklasse. Ihr hoher Komplexitätsgrad und die wenigen Gemeinsamkeiten mit vertrauten Eigenanlagen wirken herausfordernd. Dieses Buch greift dieses Spannungsfeld auf. Mit einer strukturierten Entscheidungsarchitektur wird ein interner Auswahlprozess ermöglicht, der budgetschonend wirkt und das Spannungsfeld aus Ertragsbedarf und der Sorge vor Fehlentscheidungen ausbalanciert. Hilfreich ist die Erkenntnis, dass bekannte Prozesse aus dem Kreditgeschäft und Erfahrungen aus Auswahlprozessen in anderen Anlageklassen modifiziert nutzbar sind. Zudem sind empirisch belegbare Heuristiken der Finanzwissenschaft anwendbar, die die Komplexität reduzieren. Dadurch öffnet sich ein stark wachsender Markt mit attraktivem Rendite-Risiko-Profil.
Finance Literature Index
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Author :
language : en
Publisher:
Release Date : 1994
Finance Literature Index written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Finance categories.
Quantification Of The High Level Of Endogeneity And Of Structural Regime Shifts In Commodity Markets
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Author : Vladimir Filimonov
language : en
Publisher:
Release Date : 2013
Quantification Of The High Level Of Endogeneity And Of Structural Regime Shifts In Commodity Markets written by Vladimir Filimonov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Commodity exchanges categories.
Commodity Prices And Markets
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Author : Takatoshi Ito
language : en
Publisher: University of Chicago Press
Release Date : 2011-03
Commodity Prices And Markets written by Takatoshi Ito and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03 with Business & Economics categories.
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Reform Of The Commodity Exchange Act
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Author : United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry
language : en
Publisher:
Release Date : 1997
Reform Of The Commodity Exchange Act written by United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
Complex Systems In Finance And Econometrics
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Author : Robert A. Meyers
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-11-03
Complex Systems In Finance And Econometrics written by Robert A. Meyers and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-03 with Business & Economics categories.
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
The Mcgraw Hill Finance Literature Index
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Author :
language : en
Publisher:
Release Date : 1996
The Mcgraw Hill Finance Literature Index written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Finance categories.
Mcgraw Hill Finance Literature Index
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Author : Jean Louis Heck
language : en
Publisher:
Release Date : 1996
Mcgraw Hill Finance Literature Index written by Jean Louis Heck and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.