Essays about: "Commodity futures contracts"

Showing result 6 - 10 of 18 essays containing the words Commodity futures contracts.

  1. 6. Hedging Instruments & Strategies For A Volatilie Asset In An Inefficient Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jens Edholm; Victor Björk Lindström; [2016]
    Keywords : Hedging; Compound Feed Index; Animal Compound Feed; Risk Management; Cross Hedging; Business and Economics;

    Abstract : This Bachelors thesis involves the creation of a market place for animal compound feed risk management, potential hedging instruments and applicable risk management strategies. The market place is a cross hedged portfolio of futures contracts that correlate with the price of animal compound feed in Sweden, defined as an index and referred to as Compound Feed Index. READ MORE

  3. 7. Imputation of Missing Data with Application to Commodity Futures

    University essay from KTH/Matematisk statistik

    Author : Simon Östlund; [2016]
    Keywords : Missing Data; Bayesian Statistics; Expectation Conditional Maximization ECM ; Conditional Distribution; Robust Regression; MCMC; Copulas.; Saknad Data; Bayesiansk Statistik; Expectation Conditional Maximization ECM ; Betingad Sannolikhet; Robust Regression; MCMC; Copulas.;

    Abstract : In recent years additional requirements have been imposed on financial institutions, including Central Counterparty clearing houses (CCPs), as an attempt to assess quantitative measures of their exposure to different types of risk. One of these requirements results in a need to perform stress tests to check the resilience in case of a stressed market/crisis. READ MORE

  4. 8. Validation of market commodity forward curves

    University essay from KTH/Matematisk statistik

    Author : Susanna Kaas; [2015]
    Keywords : ;

    Abstract : In this thesis the aim was to propose a method that could be used to validate the market commodity forward curve and analyse if the method is possible to apply. The thesis is limited to forward curves with equally spaced maturities up to one year and seasonal price patterns. READ MORE

  5. 9. A Sober Walk Down Wall Street, Risks and Benefits of a Trend Following Strategy

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Truls Stattin; Sofia Wärmlöf Helmrich; [2014]
    Keywords : Trend following; Time series momentum; Divergent trading strategy; Futures;

    Abstract : This thesis examines an investment strategy referred to as trend following. We construct a rule-based trading algorithm, built solely on past prices and volatility, aiming at capturing trends in futures markets. READ MORE

  6. 10. The Effectiveness of Hedging the Swedish Stock Markets Using Commodity Futures Index

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Mattias Gustafsson; Victor Svensson; [2013-08-21]
    Keywords : ;

    Abstract : It is well documented that commodity futures contracts are negatively correlated with equities. Recent years has seen a spike in trading with commodity futures contracts because of the large volume traded and the increasing interest by investors, which have reach a top of 380 billion dollar in April 2011. READ MORE