Essays on Modeling Derivative Claims

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" Essays on Modeling Derivative Claims "

Document Type	:	Latin Dissertation
Language of Document	:	English
Record Number	:	149778
Doc. No	:	ET21570
Main Entry	:	Milena Todorova
Title Proper	:	Essays on Modeling Derivative Claims
Note	:	This document is digital این مدرک بصورت الکترونیکی می باشد
Abstract	:	The paper analyzes the price dynamics of two commodity futures prices - crude oil and natural gas. Someof the latest models of commodity prices are tested here -the two-factor model of Schwartz - Smith (2000),which nests other important models developed earlier. The two-factor model includes a mean-revertingshort-term deviation and uncertain equilibrium level to which prices gravitate. The Schwartz-Smith two-factor model is the base case model in the paper.The model parameters of the Schwartz-Smith two-factor model are estimated from traded htures on naturalgas and crude oil, using the fixed maturity format I create for futures prices. Analysis of the variancestructure of natural gas prices suggests seasonality. The model is estimated on seasonally adjusted data.Model-based seasonality approaches are developed - seasonal dummies and a three-factor model with astochastic seasonality component of log spot prices. The prediction ability of the various parameterized andnon-parameterized versions of models with seasonality is compared in-sample and out-of-sample. Thetested for theQ1 PC1 bus cardBoth these projects mere sofixare des elopment efforts tonards contributing to dlfferentaspects of Roboucs and lZ1echatronics projects m the Controls and Roboucs Group..
Subject	:	Electericl tess
	:	برق
electronic file name	:	TL44744.pdf
Title and statement of responsibility and	:	Essays on Modeling Derivative Claims [Thesis]