AHA-BUCH

Commodity Models. A Step Forward

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ISBN-13:
9783846517642
Einband:
Paperback
Seiten:
172
Autor:
Francisco Javier Población García
Gewicht:
272 g
Format:
220x150x10 mm
Sprache:
Englisch
Beschreibung:

Owing to the cost of carry and the convenience yield, the commodity prices dynamics is very complex and, consequently, valuation of commodity contingent claims is carried out in the extant literature via ad-hoc solutions, which are very complex and sometimes include approximations. Therefore, it is needed to continue deepening in its study. This book tries to go a step forward in this sense. This book is organized as follows: - Chapter 1 contains an study about the extant commodity models and their implications in investment under uncertainty. - In chapter 2 it is proved that seasonality in some commodities (natural gas, gasoline and heating oil) is an stochastic factor instead of a deterministic one. - Chapter 3 provides evidence that crude oil and the main refining products are not only cointegrated but also have a common long-term trend.