<p>The effects of stochasticity of convenience yield on the futures prices for Test 3.</p
We develop a partial equilibrium model of the term structure of storable commodity futures and optio...
This article explains the role of the convenience yield in the relationships linking spot and future...
Typescript (photocopy).The weak form of the efficient markets hypothesis has been tested extensively...
<p>The effects of stochasticity of convenience yield on the American option prices for Test 2.</p
<p>The effects of stochasticity of convenience yield on the European option prices for Test 1.</p
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
This thesis examines the cross-sectional and time series variation between commodities futures price...
This paper considers contingent claims on a commodity when both the spot price and the convenience y...
International audienceThis paper studies calendar spreads in commodity futures markets while taking ...
The pricing of commodity futures contracts is important both for professionals and academics. It is ...
This paper investigates how convenience yield risk is priced in commodity markets.1 page(s
This article explains the role of the convenience yield in the relationships linking spot and future...
This paper studies the qualitative properties of a model of futures market equilibrium. We character...
This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on con...
International audienceThis papers develops a partial equilibrium model of the convenience yield risk...
We develop a partial equilibrium model of the term structure of storable commodity futures and optio...
This article explains the role of the convenience yield in the relationships linking spot and future...
Typescript (photocopy).The weak form of the efficient markets hypothesis has been tested extensively...
<p>The effects of stochasticity of convenience yield on the American option prices for Test 2.</p
<p>The effects of stochasticity of convenience yield on the European option prices for Test 1.</p
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rate...
This thesis examines the cross-sectional and time series variation between commodities futures price...
This paper considers contingent claims on a commodity when both the spot price and the convenience y...
International audienceThis paper studies calendar spreads in commodity futures markets while taking ...
The pricing of commodity futures contracts is important both for professionals and academics. It is ...
This paper investigates how convenience yield risk is priced in commodity markets.1 page(s
This article explains the role of the convenience yield in the relationships linking spot and future...
This paper studies the qualitative properties of a model of futures market equilibrium. We character...
This paper investigates risk premiums embedded in commodity convenience yields, i.e., returns on con...
International audienceThis papers develops a partial equilibrium model of the convenience yield risk...
We develop a partial equilibrium model of the term structure of storable commodity futures and optio...
This article explains the role of the convenience yield in the relationships linking spot and future...
Typescript (photocopy).The weak form of the efficient markets hypothesis has been tested extensively...
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