Sökning: "spot prices futures"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden spot prices futures.

  1. 1. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

  3. 2. Farmers management of fluctuating market prices for wheat and oilseeds : a case study of Swedish grain farmers

    Master-uppsats, SLU/Dept. of Economics

    Författare :Caroline Beck-Friis; Vilhelm Linde; [2021]
    Nyckelord :agriculture; business administration; forward contract; futures contract; grain farmers; grain marketing; grain marketing strategy; handelsbanken; hedging;

    Sammanfattning : Since joining the European Union in 1995, food policy in Sweden has gradually undergone significant changes. Before that, the policy was thoroughly guided by ensuring and prioritizing domestic production, which was done through a system of price controls. LÄS MER

  4. 3. Modelling Seasonalities of HPFCs Using a Parametric Approach

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Reza Rastegar; Lucas Svantesson; [2019]
    Nyckelord :Power Markets; Hourly Price Forward Curves; Seasonality; Electricity Spot Price; Mathematics and Statistics;

    Sammanfattning : Electricity differs from other commodities in that it cannot be stored. This non-storability characteristic results in traditional pricing methods for commodities not being applicable for electricity. An alternative pricing method is therefore needed and the solution is the Hourly Price Forward Curve (HPFC). LÄS MER

  5. 4. Petroleum Inventory Level: A Leading Indicator of Crude Oil Prices

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Marcus Larsson; [2018-07-04]
    Nyckelord :Petroleum Inventory; Crude oil price; Term Structure; Backwardation;

    Sammanfattning : This paper proposes a short-term forecasting model of West Texas Intermediate (WTI) crude oil spot prices using United States petroleum inventory levels and the spread between front-month futures prices and back-month futures prices. Applying the model between January 2010 to January 2018, I find that the model outperforms a naïve forecasting model with a convincing margin. LÄS MER

  7. 5. Volatility of copper prices and the effect of real interest rate changes : does the theory of storage explain the volatility of copper spot and futures prices?

    Master-uppsats, SLU/Dept. of Economics

    Författare :Moa Duvhammar; [2018]
    Nyckelord :theory of storage; copper price volatility; futures curve; conditional variance; GARCH;

    Sammanfattning : The purpose of this thesis is to determine if the predictions of the theory of storage can explain the volatility of copper prices during the past two decades. The theory predicts that decreasing interest rates should reduce the volatility of commodity prices by encouraging the smoothing of short-run price swings caused by temporary shocks to supply and demand. LÄS MER