Commodity price dynamics: a structural approach
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge [u.a.]
Cambridge Univ. Press
2012
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Autorenbiografie Verlagsmeldung Inhaltsverzeichnis Inhaltsverzeichnis |
| Item Description: | Hier auch später erschienene, unveränderte Nachdrucke. -"Commodities have become and important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commoditites and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling--and extreme--movements in the prices of commoditites from aluminum to oil to soybeans to zinc"-- Provided by publisher. Incl. bibliogr. references and indexes |
| Physical Description: | XIII, 224 S. graph. Darst. |
| ISBN: | 9780521195898 |
Staff View
MARC
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| 300 | |a XIII, 224 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 500 | |a Incl. bibliogr. references and indexes | ||
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Prices | |
| 650 | 4 | |a Prices |x Forecasting | |
| 650 | 4 | |a Commodity exchanges | |
| 650 | 7 | |a BUSINESS & ECONOMICS / Economics / Theory |2 bisacsh | |
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Record in the Search Index
| _version_ | 1804148714078470144 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
PREFACE PAGE BE
1 INTRODUCTION 1
1.1 INTRODUCTION 1
1.2 A COMMODITY TAXONOMY 4
1.3 COMMODITY MARKETS AND DATA 6
1.4 AN OVERVIEW OF THE REMAINDER OF THE BOOK 8
1.4.1 MODELING STORABLE COMMODITY PRICES 9
1.4.2 A TWO-FACTOR MODEL OF A CONTINUOUSLY PRODUCED COMMODITY 9
1.4.3 THE EMPIRICAL PERFORMANCE OF THE TWO-FACTOR MODEL 10 1.4.4
COMMODITY PRICING WITH STOCHASTIC FUNDAMENTAL VOLATILITY 10
1.4.5 THE PRICING OF SEASONALLY PRODUCED COMMODITIES 11 1.4.6 THE
PRICING OF POLLUTION CREDITS 11
1.4.7 NON-STORABLE COMMODITIES PRICING: THE CASE OF ELECTRICITY 12
1.5 WHERE THIS BOOK FITS IN THE LITERATURE 12
2 THE BASICS OF STORABLE COMMODITY MODELING 18
2.1 INTRODUCTION 18
2.2 DYNAMIC PROGRAMMING AND THE STORAGE PROBLEM: AN OVERVIEW 20
2.2.1 MODEL OVERVIEW 20
2.2.2 COMPETITIVE EQUILIBRIUM ~ 22
2.2.3 THE NEXT STEP: DETERMINING THE FORWARD PRICE 24 2.2.4 SPECIFYING
FUNCTIONAL FORMS AND SHOCK DYNAMICS 27 2.3 A MORE DETAILED LOOK AT THE
NUMERICAL IMPLEMENTATION 30
IMAGE 2
VI CONTENTS
2.3.1 SOLVING A PDE USING FINITE DIFFERENCES: THE ONE-DIMENSIONAL CASE
36
2.3.2 SOLVING THE 2D PDE 39
2.3.3 BOUNDARY CONDITIONS 40
2.4 SUMMARY 42
3 HIGH-FREQUENCY PRICE DYNAMICS FOR CONTINUOUSLY PRODUCED COMMODITIES IN
A TWO-FACTOR STORAGE ECONOMY: IMPLICATIONS FOR DERIVATIVES PRICING 44
3.1 INTRODUCTION 44
3.2 A MODEL OF THE STORAGE ECONOMY WITH A CONTINUOUSLY PRODUCED
COMMODITY 47
3.2.1 INTRODUCTION 47
3.2.2 FRAMEWORK AND NUMERICAL SOLUTION 47
3.3 MOMENTS AND THE STATE VARIABLES 49
3.4 DERIVATIVES PRICING 54
3.5 EXTENSION: STORAGE CAPACITY CONSTRAINTS 65
3.6 EXTENSION: THE EFFECTS OF SPECULATION ON PRICE DYNAMICS IN THE
STORAGE ECONOMY 67
3.7 SUMMARY AND CONCLUSIONS 71
4 THE EMPIRICAL PERFORMANCE OF THE TWO-FACTOR STORAGE MODEL 73
4.1 INTRODUCTION 73
4.2 EMPIRICAL TESTS OF THE THEORY OF STORAGE: A BRIEF LITERATURE REVIEW
75
4.3 AN ALTERNATIVE EMPIRICAL APPROACH 77
4.3.1 OVERVIEW 77
4.3.2 THE EXTENDED KALMAN FILTER 80
4.3.3 PARAMETER CHOICES AND DATA 83
4.4 RESULTS 84
4.5 THE IMPLICATIONS OF THE MODEL FOR THE SPECULATION DEBATE 100 4.6
SUMMARY AND CONCLUSIONS 107
5 STOCHASTIC FUNDAMENTAL VOLATILITY, SPECULATION, AND COMMODITY STORAGE
109
5.1 INTRODUCTION 109
5.2 SPECULATION AND OIL PRICES 114
5.3 THE STORAGE ECONOMY 116
5.4 EQUILIBRIUM COMPETITIVE STORAGE 118
5.5 SOLUTION OF THE STORAGE PROBLEM 119
5.6 RESULTS: STORAGE, PRICES, AND SPREADS 120
IMAGE 3
CONTENTS VII
5.7 RESULTS: THE TIME SERIES BEHAVIOR OF PRICES, STOCKS, AND VOLATILITY
5.8 SOME OTHER EMPIRICAL EVIDENCE 5.9 CONCLUSIONS
6 THE PRICING OF SEASONAL COMMODITIES
6.1 INTRODUCTION 6.2 THE MODEL 6.3 RESULTS 6.4 EMPIRICAL EVIDENCE 6.5
ALTERNATIVE EXPLANATIONS FOR THE EMPIRICAL REGULARITIES
6.5.1 PREFERENCES 6.5.2 INVENTORIES AS A FACTOR OF PRODUCTION 6.5.3
MULTIPLE STORABLE COMMODITIES 6.6 SUMMARY AND CONCLUSIONS
7 THE DYNAMICS OF CARBON MARKETS
7.1 INTRODUCTION 7.2 THE MODEL 7.3 RESULTS 7.4 SUMMARY
8 THE STRUCTURAL MODELING OF NON-STORABLES: ELECTRICITY
8.1 INTRODUCTION 8.2 ELECTRICITY MARKETS 8.3 A STRUCTURAL MODEL FOR
PRICING ELECTRICITY DERIVATIVES 8.4 MODEL IMPLEMENTATION
8.5 COMMONLY TRADED POWER OPTIONS 8.5.1 DAILY STRIKE OPTIONS 8.5.2
MONTHLY STRIKE OPTIONS 8.5.3 SPARK SPREAD OPTIONS
8.6 VALUATION METHODOLOGY 8.6.1 DAILY STRIKE AND MONTHLY STRIKE OPTIONS
8.6.2 SPARK SPREAD OPTIONS 8.7 RESULTS
8.8 COMPLICATIONS 8.9 SUMMARY AND CONCLUSIONS
REFERENCES
AUTHOR INDEX
SUBJECT INDEX
124 126 128
131
131 134 137 145 152 152
155 157 162
164
164 166 170 178
181
181 183 185 194
198 198 199 199 200 200 201 202 211 214
217 221
223
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| any_adam_object | 1 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/28 |
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
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| id | DE-604.BV039790290 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:11:31Z |
| institution | BVB |
| isbn | 9780521195898 |
| language | English |
| lccn | 2011016595 |
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| physical | XIII, 224 S. graph. Darst. |
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| publisher | Cambridge Univ. Press |
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| spelling | Pirrong, Craig 1959- Verfasser (DE-588)171398351 aut Commodity price dynamics a structural approach Craig Pirrong 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2012 XIII, 224 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke. -"Commodities have become and important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commoditites and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling--and extreme--movements in the prices of commoditites from aluminum to oil to soybeans to zinc"-- Provided by publisher. Incl. bibliogr. references and indexes Wirtschaft Prices Prices Forecasting Commodity exchanges BUSINESS & ECONOMICS / Economics / Theory bisacsh Rohstoffmarkt (DE-588)4050426-8 gnd rswk-swf Rohstoffpreis (DE-588)4050428-1 gnd rswk-swf Rohstoffmarkt (DE-588)4050426-8 s Rohstoffpreis (DE-588)4050428-1 s DE-604 http://www.loc.gov/catdir/enhancements/fy1111/2011016595-b.html Autorenbiografie http://www.loc.gov/catdir/enhancements/fy1111/2011016595-d.html Verlagsmeldung http://www.loc.gov/catdir/enhancements/fy1111/2011016595-t.html Inhaltsverzeichnis SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024650961&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pirrong, Craig 1959- Commodity price dynamics a structural approach Wirtschaft Prices Prices Forecasting Commodity exchanges BUSINESS & ECONOMICS / Economics / Theory bisacsh Rohstoffmarkt (DE-588)4050426-8 gnd Rohstoffpreis (DE-588)4050428-1 gnd |
| subject_GND | (DE-588)4050426-8 (DE-588)4050428-1 |
| title | Commodity price dynamics a structural approach |
| title_auth | Commodity price dynamics a structural approach |
| title_exact_search | Commodity price dynamics a structural approach |
| title_full | Commodity price dynamics a structural approach Craig Pirrong |
| title_fullStr | Commodity price dynamics a structural approach Craig Pirrong |
| title_full_unstemmed | Commodity price dynamics a structural approach Craig Pirrong |
| title_short | Commodity price dynamics |
| title_sort | commodity price dynamics a structural approach |
| title_sub | a structural approach |
| topic | Wirtschaft Prices Prices Forecasting Commodity exchanges BUSINESS & ECONOMICS / Economics / Theory bisacsh Rohstoffmarkt (DE-588)4050426-8 gnd Rohstoffpreis (DE-588)4050428-1 gnd |
| topic_facet | Wirtschaft Prices Prices Forecasting Commodity exchanges BUSINESS & ECONOMICS / Economics / Theory Rohstoffmarkt Rohstoffpreis |
| url | http://www.loc.gov/catdir/enhancements/fy1111/2011016595-b.html http://www.loc.gov/catdir/enhancements/fy1111/2011016595-d.html http://www.loc.gov/catdir/enhancements/fy1111/2011016595-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024650961&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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