Empirical derivative pricing with LME industrial metal data:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Göttingen
Cuvillier Verlag
[2015]
|
| Ausgabe: | 1. Auflage |
| Schriftenreihe: | MRM, Materials resource management
|
| Schlagwörter: | |
| Links: | http://api.vlb.de/api/v1/asset/mmo/file/581bebfc-bcdf-4f66-a774-1cc45a382135 http://api.vlb.de/api/v1/asset/mmo/file/1542109c-a1a3-4c2a-b220-275fb9de7205 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028398827&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Erscheint auch als: eISBN 978-3-7369-8084-6 |
| Umfang: | XX, 187 Seiten Diagramme |
| ISBN: | 9783736990845 |
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| adam_text | V
TABLE OF CONTENTS
LIST OF PUBLICATIONS XI
LIST OF ABBREVIATIONS XIII
LIST OF FIGURES XV
LIST OF TABLES XVII
1 INTRODUCTION 1
1.1 MOTIVATION 1
1.2 RESEARCH ON COMMODITY DERIVATIVE MARKETS AND OTHER RELATED TOPICS :
2
1.3 RESEARCH AIMS OF THIS THESIS 3
2 COMMODITIES AND THEIR EXCHANGE TRADE 7
2.1 COMMODITY CLASSIFICATION 7
2.2 LME TRADED INDUSTRIAL METALS 9
2.3 DESCRIPTION OF INDUSTRIAL METALS FROM THE LME 10
2.3.1 ALUMINUM 10
2.3.2 COPPER 11
2.3.3 LEAD 11
2.3.4 NICKEL 12
2.3.5 TIN 12
2.3.6 ZINC 12
2.4 MEASURING CRITICALITY OF METALS 13
3 THEORETICAL BACKGROUND OF COMMODITY DERIVATIVES AND RELATED LITERATURE
17
3.1 PRICING AND PROPERTIES OF COMMODITY FUTURES 17
3.1.1 BASICS OF COMMODITY FUTURES AND THEIR TERM STRUCTURE 17
3.1.2 PRICING MODELS 18
3.1.2.1 THE THEORY OF NORMAL BACKWARDATION AND RISK PREMIUMS IN
COMMODITY FUTURE PRICES 18
3.1.2.2 COST OF CARRY VALUATION OF COMMODITY FUTURES AND THE THEORY OF
STORAGE 21
3.1.2.3 THE LINK BETWEEN THE RISK PREMIUM AND COST OF CARRY VALUATION
MODEL 24
3.1.3 THE IMPACT OF NON-COMMERCIAL TRADING ON COMMODITY MARKETS 24
3.1.3.1 CLASSIFICATION OF PARTICIPANTS IN COMMODITY MARKETS 24
3.1.3.2 NON-COMMERCIAL TRADING ACTIVITY AND PRICE BUBBLES 25
3.1.3.3 PRICE DISCOVERY AND TRANSMISSION OF FUTURE PRICE BUBBLES TO SPOT
MARKETS 27
3.1.4 RESEARCH AIMS AND HYPOTHESES ON COMMODITY FUTURES 28
3.1.4.1 FUTURE PRICING MODELS 28
3.1.4.2 NON-COMMERCIAL TRADING IN FUTURE MARKETS 30
HTTP://D-NB.INFO/1076050549
VI
TABLE OF CONTENTS
3.1.4.3 CONVENIENCE YIELD AS SUPPLY RISK INDICATOR 31
3.2 PROPERTIES OF COMMODITY OPTIONS 33
3.2.1 BASICS OF COMMODITY OPTIONS 33
3.2.2 INVENTORY LEVEL AS DETERMINANT OF VOLATILITY IN COMMODITY MARKETS
34
3.2.3 PREDICTING VOLATILITY IN COMMODITY MARKETS 35
3.2.4 RESEARCH AIMS AND HYPOTHESES ON COMMODITY OPTIONS . 38
3.3 PRICING AND PROPERTIES OF STRUCTURED FINANCIAL PRODUCTS WITH
COMMODITY UNDERLYINGS 40
3.3.1 BASICS OF STRUCTURED FINANCIAL PRODUCTS ; 40
3.3.2 PRICE SETTING OF STRUCTURED FINANCIAL PRODUCTS :.... 41
3.3.3 RESEARCH AIMS AND HYPOTHESES ON STRUCTURED FINANCIAL PRODUCTS WITH
COMMODITY UNDERLYINGS 44
4 EMPIRICAL EXAMINATION 49
4.1 COMMODITY FUTURES 49
4.1.1 COINTEGRATION TESTS OF THE FUTURE PRICING MODELS 49
4.1.1.1 METHODOLOGY 49
4.1.1.1.1 RISK PREMIUM MODEL 49
4.1.1.1.2 COST OF CARRY MODEL 49
4.1.1.1.3 JOHANSEN COINTEGRATION TEST 50
4.1.1.1.4 THE CONVENIENCE YIELD AS DETERMINANT IN PRICE MECHANISMS 51
4.1.1.2 DATA 51
4.1.1.3 UNIT ROOT AND STATIONARITY TESTS ;...; 54
4.1.1.4 RESULTS 55
4.1.1.4.1 COINTEGRATION TESTS 55
4.1.1.4.1.1 RISK PREMIUM MODEL 55
4.1.1.4.1.2 COST OF CARRY MODEL 57
4.1.1.4.2 REGRESSION ANALYSIS OF THE CONVENIENCE YIELD S INFLUENCE ON
FUTURE PRICING 60
4.1.1.4.2.1 LINKAGE BETWEEN FUTURE PRICES AND EXPECTED SPOT PRICES 60
4.1.1.4.2.2 LINKAGE BETWEEN FUTURE PRICES AND CURRENT SPOT PRICES 63
4.1.1.5 DISCUSSION 68
4.1.1.5.1 RISK PREMIUM MODEL 68
4.1.1.5.2 COST OF CARRY MODEL 69
4.1.1.5.3 COMPARING THE RISK PREMIUM AND COST OF CARRY MODEL 71
4.1.2 COINTEGRATION TEST ON NON-COMMERCIAL TRADING WITH THE TURNOVER 74.
4.1.2.1 METHODOLOGY 74
4.1.2.2 DATA 74
TABLE OF CONTENTS VII
4.1.2.3 UNIT ROOT TESTS 74
4.1.2.4 RESULTS 75
4.1.2.5 DISCUSSION 79
4.1.3 CONVENIENCE YIELD AS SUPPLY RISK INDICATOR 79
4.1.3.1 METHODOLOGY 79
4.1.3.2 DATA 81
4.1.3.3 RESULTS 82
4.1.3.3.1 INVENTORY FORECASTING WITH CONVENIENCE YIELDS 82
4.1.3.3.2 SPOT PRICE FORECASTING WITH CONVENIENCE YIELDS 83
4.1.3.4 ROBUSTNESS CHECKS 83
4.1.3.4.1 TEST OF THE STATISTICAL MODELS 83
4.1.3.4.2 TEST FOR OPERATIONALIZATION INDUCED BIASES 88
4.1.3.5 DISCUSSION 89
4.1.3.5.1 PREDICTIVE POWER OF THE CONVENIENCE YIELD 89
4.1.3.5.2 THE CONVENIENCE YIELD AS SUPPLY RISK INDICATOR 92
4.2 COMMODITY OPTIONS 93
4.2.1 METHODOLOGY . 93
4.2.1.1 VOLATILITY FORECASTING WITH IMPLIED FORWARD VOLATILITIES 93
4.2.1.2 INVENTORY FORECASTING WITH IMPLIED FORWARD VOLATILITIES 96
4.2.2 DATA 97
4.2.3 UNIT ROOT TESTS 100
4.2.4 VOLATILITY FORECASTING WITH IMPLIED FORWARD VOLATILITIES 101
4.2.4.1 RESULTS 101
4.2.4.2 DISCUSSION 105
4.2.4.3 METHODOLOGICAL DRAWBACKS 115
4.2.5 INVENTORY FORECASTING WITH IMPLIED FORWARD VOLATILITIES 116
4.2.5.1 RESULTS 116
4.2.5.2 DISCUSSION 120
4.3 STRUCTURED FINANCIAL PRODUCTS WITH COMMODITY UNDERLYINGS 123
4.3.1 VALUATION OF DISCOUNT AND BONUS CERTIFICATES 123
4.3.1.1 DISCOUNT CERTIFICATES 123
4.3.1.1.1 PAYOFF SCHEME 123
4.3.1.1.2 VALUATION WITHOUT DEFAULT RISK AND QUANTO 124
4.3.1.2 BONUS CERTIFICATES 124
4.3.1.2.1 PAYOFF SCHEME 124
VIII
TABLE OF CONTENTS
4.3.1.2.2 VALUATION WITHOUT DEFAULT RISK AND QUANTO 124
4.3.1.3 VALUATION OF DISCOUNT AND BONUS CERTIFICATES WITH CREDIT RISK
125
4.3.1.4 VALUATION OF QUANTO DISCOUNT AND BONUS CERTIFICATES 125
4.3.2 DATA : 126
4.3.2.1 DISCOUNT AND BONUS CERTIFICATE DATA 126
4.3.2.2 MARKET DATA FOR THE VALUATION 127
4.3.3 METHODOLOGY 130
4.3.3.1 MEASURING MISPRICING OF CERTIFICATES 130
4.3.3.2 STATISTICAL TESTS ON MISPRICING OF CERTIFICATES 131
4.3.4 RESULTS 133
4.3.4.1 BANK MARGINS IN THE PRIMARY MARKET 133
4.3.4.1.1 SAMPLE STATISTICS OF BANK MARGINS 133
4.3.4.1.2 BIVARIATE REGRESSIONS OF BANK MARGINS 134
4.3.4.1.3 MULTIVARIATE REGRESSIONS OF BANK MARGINS 143
4.3.4.2 BANK MARGINS IN THE SECONDARY MARKET 144
4.3.4.2.1 SAMPLE STATISTICS OF BANK MARGINS 144
4.3.4.2.2 BIVARIATE REGRESSIONS OF BANK MARGINS 145
4.3.4.2.3 MULTIVARIATE REGRESSIONS OF BANK MARGINS 145
4.3.5 DISCUSSION *. 146
4.3.5.1 PRICE SETTING IN THE MARKET FOR COMMODITY CERTIFICATES 146
4.3.5.1.1 PRIMARY MARKET 146
4.3.5.1.2 SECONDARY MARKET 146
4.3.5.2 MARKET ENTRY BARRIERS AND BANK MARGINS 147
4.3.5.2.1 PRIMARY MARKET 147
4.3.5.2.2 SECONDARY MARKET 148
4.3.5.3 PRICING OF CERTIFICATES WITH QUANTO FEATURE 150
4.3.5.3.1 PRIMARY MARKET 150
4.3.5.3.2 SECONDARY MARKET 1 151
4.3.5.4 THE INFLUENCE OF THE CONVENIENCE YIELD ON THE BANK MARGIN *. 152
4.3.5.5 THE INFLUENCE OF PAST RETURNS ON THE BANK MARGIN 153
4.3.5.6 THE INFLUENCE OF THE IMPLIED VOLATILITY ON THE BANK MARGIN 154
4.3.5.7 OTHER EMPIRICAL OBSERVATIONS 154
4.3.5.7.1 BANK MARGIN DIFFERENCES BETWEEN DISCOUNT AND BONUS
CERTIFICATES 154
4.3.5.7.2 THE INFLUENCE OF THE TIME TO MATURITY ON THE BANK MARGIN 156
4.3.5.7.3 MONEYNESS AND DISTANCE TO THE BARRIER AS DETERMINANTS OF BANK
MARGINS 156
TABLE OF CONTENTS IX
4.3.5.7.4 ISSUERS CREDIT SPREADS AND BANK MARGINS 159
5 CONCLUSIONS 161
5.1 SUMMARY OF RESULTS 161
5.2 FINAL REMARKS AND OUTLOOK 164
REFERENCES 167
ACKNOWLEDGMENT 185
CURRICULUM VITAE 187
|
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| dewey-search | 650 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. Auflage |
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| indexdate | 2024-12-20T17:24:44Z |
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| series2 | MRM, Materials resource management |
| spellingShingle | Stepanek, Christian 1984- Empirical derivative pricing with LME industrial metal data Warenterminoption (DE-588)4219435-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Metallhandel (DE-588)4169591-4 gnd |
| subject_GND | (DE-588)4219435-0 (DE-588)4135346-8 (DE-588)4169591-4 (DE-588)4113937-9 |
| title | Empirical derivative pricing with LME industrial metal data |
| title_auth | Empirical derivative pricing with LME industrial metal data |
| title_exact_search | Empirical derivative pricing with LME industrial metal data |
| title_full | Empirical derivative pricing with LME industrial metal data vorgelegt von Dipl.-Phys. Christian Stepanek |
| title_fullStr | Empirical derivative pricing with LME industrial metal data vorgelegt von Dipl.-Phys. Christian Stepanek |
| title_full_unstemmed | Empirical derivative pricing with LME industrial metal data vorgelegt von Dipl.-Phys. Christian Stepanek |
| title_short | Empirical derivative pricing with LME industrial metal data |
| title_sort | empirical derivative pricing with lme industrial metal data |
| topic | Warenterminoption (DE-588)4219435-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Metallhandel (DE-588)4169591-4 gnd |
| topic_facet | Warenterminoption Optionspreistheorie Metallhandel Hochschulschrift |
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| work_keys_str_mv | AT stepanekchristian empiricalderivativepricingwithlmeindustrialmetaldata |