Essays about: "Commodity futures contracts"

Showing result 11 - 15 of 18 essays containing the words Commodity futures contracts.

  1. 11. The effects of volatility and correlation on CTA strategies

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Kristoffer Lindkvist; [2012]
    Keywords : CTAs; Volatility; Correlation; Trend Following; Short Term; Fundamental; Managed Futures;

    Abstract : Detta examensarbete analyserar effekterna av volatilitet och korrelation på trading strategier brukade av Commodity Trading Advisors (CTA´s). Denna studie bygger på en kvantitativ analys av data som insamlats från Barclay Hedge database. Studien har genomförts i samarbete med RPM Risk & Portfoliomanagement i Stockholm, Sverige. READ MORE

  3. 12. Forecasting the Steel Billet Price via Steel Futures Contracts and Convenience Yield: An Empirical Study on the Price Behavior of London Metal Exchange's Steel Billet Product.

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Isaac Xin Zhou; [2012]
    Keywords : Steel; Commodity Study; Unbiased Futures; Convenience Yield; Price Behavior;

    Abstract : This thesis studies the price behavior of a highly important yet unexplored commodity: the steel. The author refers to the theoretical models that are commonly used in other commodity researches: the unbiased futures model (UFM) and the convenience yield model (CYM). READ MORE

  4. 13. Hedging with Gold Futures: Evidence from China and India

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jing Yang; Oleksandr Pavlov; [2011]
    Keywords : Gold; Futures; Hedge ratio; Hedging effectiveness; China; India; Business and Economics;

    Abstract : Recently the National Commodity & Derivatives Exchange (NCDEX) and the Shanghai Futures Exchange (SHFE) introduced gold futures trading in India and China respectively. In developing markets like China and India it is important to manage risk. READ MORE

  5. 14. Numerical Methods for Pricing Swing Options in the Electricity Market

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE); Tillämpad matematik och fysik (MPE-lab)

    Author : Matilda Guo; Maria Lapenkova; [2010]
    Keywords : Financial Mathematics; Numerical methods; Swing options; Electricity market;

    Abstract : Since the liberalisation of the energy market in Europe in the early 1990s, much opportunity to trade electricity as a commodity has arisen. One significant consequence of this movement is that market prices have become more volatile instead of its tradition constant rate of supply. READ MORE

  6. 15. Trading Oil Futures

    University essay from Institutionen för teknik och byggd miljö

    Author : Qiao He; [2008]
    Keywords : Commodity; Trading; Crude oil; Futures;

    Abstract : Oil is an important energy source and a necessary industrial raw material. Every country’s economic growth and the daily life of its people are dependent on this energy form. Historically, the oil prices have varied significantly on the world market. This led to at least two oil crises when prices increased in a very fast pace. READ MORE