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A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.

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권호기사 목록 테이블로 기사명, 저자명, 페이지, 원문, 기사목차 순으로 되어있습니다.
기사명 저자명 페이지 원문 목차
Maximum principle, convergence of sequences and angular limits for harmonic Bloch mappings Jinjing Qiao, Hongya Gao pp.1591-1603

Certain classes of analytic functions and distributions with general exponential growth 손병근 pp.1805-1827

Meromorphic solutions of a complex difference equation of Malmquist type Ran-Ran Zhang, Zhi-Bo Huang pp.1735-1748

A nonconforming primal mixed finite element method for the Stokes equations 조성민, 박은재 pp.1655-1668

A note on k-hyperreflexivity of Toeplitz-harmonic subspaces Piotr Budzyński, Kamila Piwowarczyk, Marek Ptak pp.1727-1733

Inclusion and neighborhood properties of certain subclasses of p-valent analytic functions of complex order involving a linear operator Ashok Kumar Sahoo, Jagannath Patel pp.1625-1647

Structure of some classes of semisimple group algebras over finite fields Neha Makhijani, Rajendra Kumar Sharma, J.B. Srivastava pp.1605-1614

Conditional transform with respect to the Gaussian process involving the conditional convolution product and the first variation 정현수, 이일용, 장승준 pp.1561-1577

On the m-potent ranks of certain semigroups of orientation preserving transformations Ping Zhao, Taijie You, Huabi Hu pp.1841-1850

Commutative p-Schur rings over non-abelian groups of order p3 김기정 pp.1689-1696

Approximate convexity with respect to integral arithmetic mean Marek Żołdak pp.1829-1839

Indefinite generalized Sasakian space form admitting a generic lightlike submanifold 진대호 pp.1711-1726

On slant Riemannian submersions for cosymplectic manifolds İrem Küpeli Erken, Cengizhan Murathan pp.1749-1771

Boost invariant surfaces with pointwise 1-type Gauss map in Minkowski 4-space E14 Ferdag Kahraman Aksoyak, Yusuf Yayli pp.1863-1874

On a Neumann problem at resonance for nonuniformly semilinear elliptic systems in an unbounded domain with nonlinear boundary condition Hoang Quoc Toan, Bui Quoc Hung pp.1669-1687

Notes on normal families of meromorphic functions sharing a set with their derivatives Xiao-Min Li, Hong-Xun Yi, Kai-Mei Wang pp.1773-1789

A note on zero divisors in w-Noetherian-like rings 김환구, 권태인, 이민섭 pp.1851-1861

Commodity futures term structure model Hyeong In Choi, Song-Hwa Kwon, Jun Yeol Kim, Du-Seop Jung pp.1791-1804

A note on generalized Dirac eigenvalues for split holonomy and torsion Ilka Agricola, 김화정 pp.1579-1589

Generalized matrix functions, irreducibility and equality Mohammad Hossein Jafari, Ali Reza Madadi pp.1615-1623

Global existence and xistence of solutions for coupled nonlinear wave equations with damping and source terms Yaojun Ye pp.1697-1710

The number of pancyclic arcs contained in a Hamiltonian cycle of a tournament Michel Surmacs pp.1649-1654

참고문헌 (26건) : 자료제공( 네이버학술정보 )

참고문헌 목록에 대한 테이블로 번호, 참고문헌, 국회도서관 소장유무로 구성되어 있습니다.
번호 참고문헌 국회도서관 소장유무
1 Markov models for commodity futures: theory and practice 네이버 미소장
2 Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure 네이버 미소장
3 T. Bj¨ork, Arbitrage Theory in Continuous Time, Oxford University Press, 2004. 미소장
4 Seasonal and stochastic effects in commodity forward curves 네이버 미소장
5 M. J. Brennan, The price of convenience and the valuation of commodity contingent claims, in Lund, D. and Øksendal, B. (eds.), Stochastic Models and Option Values (North-Holland, Amsterdam). 미소장
6 J. Casassus and P. Collin-Dufresne, Stochastic convenience yield implied from commod-ity futures and interest rates, J. Finance 60 (2005), no. 5, 2283–2331. 미소장
7 J. Casassus, P. Collin-Dufresne, and B. R. Routledge, Equilibrium commodity prices with irreversible investment and non-linear technologies, Available at SSRN: http://ssrn.com/abstract=686542 or http://dx.doi.org/10.2139/ssrn.686542, 2009. 미소장
8 S. Deng, Stochastic models of energy commodity prices and their applications: mean-reversion with jumps and spikes, POWER working papers, Program onWorkable Energy Regulation, University of California Energy Institute, 2000. 미소장
9 B. Dupire, Pricing and hedging with smiles, in Mathematics of Derivative Securities (Cambridge, 1995), 103–111, Publ. Newton Inst., 15, Cambridge Univ. Press, Cambridge, 1997. 미소장
10 H. Geman, Commodities and Commodity Derivatives, Wiley, 2005. 미소장
11 H. Geman and A. Roncoroni, Understanding the fine structure of electricity prices, The Journal of Business 79 (2006), no. 3, 1225–1261. 미소장
12 Stochastic Convenience Yield and the Pricing of Oil Contingent Claims 네이버 미소장
13 Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 네이버 미소장
14 J. E. Hilliard and J. Reis,Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot, Journal of Financial and Quantitative Analysis 33 (1998), no. 1, 61–86. 미소장
15 N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, 2nd Edition, North-Holland Publishing Co., 1989. 미소장
16 R. H. Litzenberger and N. Rabinowitz, Backwardation in oil futures markets: theory and empirical evidence, J. Finance 50 (1995), no. 5, 1517–1545. 미소장
17 Measuring seasonalities in commodity markets and the half-month effect 네이버 미소장
18 Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates 네이버 미소장
19 V. K. Ng and S. C. Pirrong, Fundamentals and volatility: storage, spreads, and the dynamics of metals prices, The Journal of Business 67 (1994), no. 2, 203–230. 미소장
20 The Dynamics of Commodity Spot and Futures Markets: A Primer 네이버 미소장
21 D. R. Ribeiro and S. D. Hodges, A two-factor model for commodity prices and futures valuation, EFMA 2004 Basel Meetings Paper. 미소장
22 M. C. Richter and C. Sørensen, Stochastic volatility and seasonality in commodity futures and options: the case of soybeans, EFA 2002 Berlin Meetings Presented Paper. 미소장
23 The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 네이버 미소장
24 Short-Term Variations and Long-Term Dynamics in Commodity Prices 네이버 미소장
25 Y. Tian and P. Fackler, A seasonal stochastic volatility model for futures price term structure, Working Paper, North California State University, 2000. 미소장
26 A. B. Trolle and E. S. Schwartz, Unspanned stochastic volatility and the pricing of commodity derivatives, EFA 2008 Athens Meetings Paper, 2008. 미소장

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