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Author: Annie Theriault Publisher: ISBN: 9780494395653 Category : Finance Languages : en Pages : 70
Book Description
This thesis investigates the pricing performance of option pricing models derived from the options' underlying asset(s)' empirical time-series for a sample of oil & gas futures options and a sample of crack spread options traded at the New York Mercantile Exchange (NYMEX) in 2004 and 2005. In Chapter 2, we study the univariate time-series properties of the light sweet crude oil, New York Harbor no. 2 heating oil, New York Harbor unleaded gasoline, and Henry Hub natural gas futures contracts using price, trading volume and open interest data for the contracts expiring between 1995 and 2005. We show that the futures returns can be modeled with a nonlinear asymmetric GARCH (NGARCH) process augmented with two types of maturity effects, the Samuelson effect and contract switching effects related to hedging rollover. We use this augmented GARCH time-series process to build our GARCH option pricing model, which can be solved for prices using primal Monte Carlo simulation techniques, and find that it yields lower pricing errors than both a GARCH option pricing model without maturity effects and a constant volatility model. In Chapter 3, we examine the joint time-series dynamics of the two pairs of futures prices underlying the NYMEX crack spread options, that is the New York Harbor no. 2 heating oil/light sweet crude oil and New York Harbor unleaded gasoline/light sweet crude oil pairs. We show that these pairs of commodities are co-integrated and have time-varying volatility that can be modeled as a bivariate NGARCH process with maturity effects as identified for each asset's univariate time-series process in Chapter 2. We build our pricing model, which can also be solved for option prices using primal Monte Carlo simulation techniques, from the empirical co-integrated bivariate GARCH time-series process of these pairs of assets and find evidence in support of the inclusion of maturity effects and co-integration for pricing. Our simulation study of the bivariate GARCH option pricing model with and without co-integration shows that the co-integrated bivariate LARCH model with maturity effects is less sensitive to input and parameter values than the corresponding bivariate GARCH model without co-integration.
Author: Annie Theriault Publisher: ISBN: 9780494395653 Category : Finance Languages : en Pages : 70
Book Description
This thesis investigates the pricing performance of option pricing models derived from the options' underlying asset(s)' empirical time-series for a sample of oil & gas futures options and a sample of crack spread options traded at the New York Mercantile Exchange (NYMEX) in 2004 and 2005. In Chapter 2, we study the univariate time-series properties of the light sweet crude oil, New York Harbor no. 2 heating oil, New York Harbor unleaded gasoline, and Henry Hub natural gas futures contracts using price, trading volume and open interest data for the contracts expiring between 1995 and 2005. We show that the futures returns can be modeled with a nonlinear asymmetric GARCH (NGARCH) process augmented with two types of maturity effects, the Samuelson effect and contract switching effects related to hedging rollover. We use this augmented GARCH time-series process to build our GARCH option pricing model, which can be solved for prices using primal Monte Carlo simulation techniques, and find that it yields lower pricing errors than both a GARCH option pricing model without maturity effects and a constant volatility model. In Chapter 3, we examine the joint time-series dynamics of the two pairs of futures prices underlying the NYMEX crack spread options, that is the New York Harbor no. 2 heating oil/light sweet crude oil and New York Harbor unleaded gasoline/light sweet crude oil pairs. We show that these pairs of commodities are co-integrated and have time-varying volatility that can be modeled as a bivariate NGARCH process with maturity effects as identified for each asset's univariate time-series process in Chapter 2. We build our pricing model, which can also be solved for option prices using primal Monte Carlo simulation techniques, from the empirical co-integrated bivariate GARCH time-series process of these pairs of assets and find evidence in support of the inclusion of maturity effects and co-integration for pricing. Our simulation study of the bivariate GARCH option pricing model with and without co-integration shows that the co-integrated bivariate LARCH model with maturity effects is less sensitive to input and parameter values than the corresponding bivariate GARCH model without co-integration.
Author: Apostolos Serletis Publisher: World Scientific Publishing Company Incorporated ISBN: 9789814390675 Category : Business & Economics Languages : en Pages : 142
Book Description
The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Author: Mr. Kangni R Kpodar Publisher: International Monetary Fund ISBN: 1616356154 Category : Business & Economics Languages : en Pages : 34
Book Description
This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.
Author: Craig Pirrong Publisher: Cambridge University Press ISBN: 1139501976 Category : Business & Economics Languages : en Pages : 239
Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Mr.Aasim M. Husain Publisher: International Monetary Fund ISBN: 151357227X Category : Business & Economics Languages : en Pages : 41
Book Description
The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.
Author: Philippe Jorion Publisher: McGraw Hill Professional ISBN: 0071736921 Category : Business & Economics Languages : en Pages : 624
Book Description
Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Author: Helyette Geman Publisher: John Wiley & Sons ISBN: 0470687738 Category : Business & Economics Languages : en Pages : 479
Book Description
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Author: Annie Theriault
Author: Annie Theriault
Author: Apostolos Serletis
Author: Mr. Kangni R Kpodar
Author: Craig Pirrong
Author: Christophe Chassard
Author: Mr.Aasim M. Husain
Author: Philippe Jorion
Author: Bassam Fattouh
Author: 
Author: Helyette Geman