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Author: Andrianos E. Tsekrekos Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We focus on factors that drive the dynamics of commodity prices. We highlight the capital budgeting implications of three highly-cited, nested, multi-factor models for commodity prices that have been successful in empirical investigations. Competing assumptions regarding commodity prices and their convenience yields can account for differences close to 40% on average, and in excess of 60% in cases, in the valuation of typical natural resource investments. These value differences are found to increase with the maturity and the intrinsic value of the investment, and also with the level and the volatility of the resource's convenience yield. Resources such as oil or copper, that are used for production purposes, usually exhibit high and volatile convenience yields; thus our findings should be more relevant for decision makers in such sectors.
Author: Andrianos E. Tsekrekos Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We focus on factors that drive the dynamics of commodity prices. We highlight the capital budgeting implications of three highly-cited, nested, multi-factor models for commodity prices that have been successful in empirical investigations. Competing assumptions regarding commodity prices and their convenience yields can account for differences close to 40% on average, and in excess of 60% in cases, in the valuation of typical natural resource investments. These value differences are found to increase with the maturity and the intrinsic value of the investment, and also with the level and the volatility of the resource's convenience yield. Resources such as oil or copper, that are used for production purposes, usually exhibit high and volatile convenience yields; thus our findings should be more relevant for decision makers in such sectors.
Author: Max Schöne Publisher: Springer ISBN: 3658074930 Category : Business & Economics Languages : en Pages : 114
Book Description
The Author shows that modelling the uncertain cash flow dynamics of an investment project deserves careful attention in real options valuation. Focusing on the case of commodity price uncertainty, a broad empirical study reveals that, contrary to common assumptions, prices are often non-stationary and exhibit non-normally distributed returns. Subsequently, more realistic stochastic volatility, jump diffusion, and Lévy processes are evaluated in the context of a stylised investment project. The valuation results suggest that stochastic process choice can have substantial implications for valuation results and optimal investment rules.
Author: Robert K. Dixit Publisher: Princeton University Press ISBN: 1400830176 Category : Business & Economics Languages : en Pages : 484
Book Description
How should firms decide whether and when to invest in new capital equipment, additions to their workforce, or the development of new products? Why have traditional economic models of investment failed to explain the behavior of investment spending in the United States and other countries? In this book, Avinash Dixit and Robert Pindyck provide the first detailed exposition of a new theoretical approach to the capital investment decisions of firms, stressing the irreversibility of most investment decisions, and the ongoing uncertainty of the economic environment in which these decisions are made. In so doing, they answer important questions about investment decisions and the behavior of investment spending. This new approach to investment recognizes the option value of waiting for better (but never complete) information. It exploits an analogy with the theory of options in financial markets, which permits a much richer dynamic framework than was possible with the traditional theory of investment. The authors present the new theory in a clear and systematic way, and consolidate, synthesize, and extend the various strands of research that have come out of the theory. Their book shows the importance of the theory for understanding investment behavior of firms; develops the implications of this theory for industry dynamics and for government policy concerning investment; and shows how the theory can be applied to specific industries and to a wide variety of business problems.
Author: Andrey Vavilov Publisher: Springer Nature ISBN: 3030767531 Category : Business & Economics Languages : en Pages : 314
Book Description
This book examines the economics of natural resource markets and pricing, as well as the field of natural resource economics in general. It presents the key contributions to this field of research, including the pioneering works and contemporary studies. The book highlights the basic principles and ideas underlying theoretical models of resource pricing. The models considered in the book underline the fundamental determinants of resource prices and the economic nature of rents for non-renewable and renewable resources. Besides the classical theory of exhaustible resource economics, the book includes several issues that are of high importance for global economic growth, such as the transition to alternative energy and the economics of climate change. The authors also consider the issues of commodity pricing and a resource cartel’s activity that are relevant to the world oil market. The book provides analytical solutions illustrated with numerical examples. It allows an intuitive understanding of the subject and the model inferences through graphical illustrations and an informal introduction. It, therefore, is a must-read for everybody interested in a better understanding of resource prices, resource markets, and resource economics.
Author: Nicola Secomandi Publisher: World Scientific ISBN: 9813149426 Category : Business & Economics Languages : en Pages : 258
Book Description
The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice.This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications.The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping.The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.
Author: Bernard Amadei Publisher: Momentum Press ISBN: 1947083554 Category : Architecture Languages : en Pages : 234
Book Description
This two-volume book describes a flexible and adaptive system-based methodology and associated guidelines for the management and allocation of community-based WELF resources. Over the next 50 years, rapid population, urbanization, and economic growth worldwide will create unprecedented demands for water, energy, land, and food (WELF) resources. The discussion on how to meet human needs for WELF resources and how to guarantee their respective securities has changed over time from looking at all four sectors in isolation to understanding their interdependency through the so-called WELF nexus. The approach presented in this book responds to the overall agreement in the WELF nexus literature that the management and allocation of WELF resources at the community level need to be examined in a more systemic, multidisciplinary, participatory, and practical manner while seeking to increase synergies and reduce trade-offs. This book was written to explore the value proposition of that approach. This two-volume book describes a flexible and adaptive system-based methodology and associated guidelines for the management and allocation of community-based WELF resources. Volume 1 focuses on defining the landscape in which the nexus operates and outlines the proposed methodology. Volume 2 explores the quantitative and qualitative modeling of the nexus and landscape using system modeling tools including system dynamics. It presents a road map for the formulation, simulation, selection, and ranking of possible intervention plans. The proposed methodology is designed to serve as a guide for different groups involved in the science and policy decision aspects of the WELF nexus within the context of community development. The methodology focuses mostly on WELF-related issues in small-scale and low-income communities where securing resources is critical to their short- and long-term livelihood and development.
Author: Andrianos E. Tsekrekos
Author: Andrianos E. Tsekrekos
Author: Michael J. Brennan
Author: Max Schöne
Author: Michael Joseph Brennan
Author: Robert K. Dixit
Author: Andrey Vavilov
Author: Nicola Secomandi
Author: Richard B. Standiford
Author: Bernard Amadei
Author: