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Stochastic models for the spot and future prices of commodities with high volatility and mean reversion... We develop closed formulas to price the spot of the commodity, its future, and to price a call option on the spot and on the commodity future, in the real world and under risk neutrality, by using a 1 factor model.Real...

général - core.ac.uk - PDF: mpra.ub.uni-muenchen.de

The commodity future investment with the impact of chinese specific factorsThis thesis explores the commodity futures investment strategy with the impact of the Chinese specific factors....

PDF: core.ac.uk

2012 testing overreaction and under-reaction in the commodity futures market byResults from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive....

PDF: citeseerx.ist.psu.edu

Commodity futures market byResults from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive....

PDF: citeseerx.ist.psu.edu

The impact of international hot money in international commodity future markets during the subprime mortgage crisis... Behavior of traders including investors and speculators in commodity future markets are studied before and after the subprime mortgage crisis....

PDF: www.scientific.net

commodity futures contract

finances - iate.europa.eu

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Quantifying commodity basis risk by simulating the price dynamics of futures... Within this framework, we show that the price of a commodity futures contract has a closed form solution....

général - core.ac.uk - PDF: core.ac.uk

Front-running' - insider trading under the commodity exchange act...‘front-running.’ Simply stated, the practice of front-running involves a transaction in a commodity futures contract or a stock option contract by a trader with ‘material’ nonpublic information concerning a ‘block’ transaction in the commodity or security underlying...

PDF: ecollections.law.fiu.edu

Futures basis for cotton: impact of globalization and structural changeA model of commodity futures contract basis was developed based on Working’s theory of the price of storage....

PDF: purl.umn.edu