Essays about: "Schwartz-Smith Two-Factor Model"

Found 1 essay containing the words Schwartz-Smith Two-Factor Model.

  1. 1. Schwartz-Smith Two-Factor Model in the Copper Market: before and after the New Market Dynamics

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Dominice Goodwin; [2013]
    Keywords : Schwartz-Smith Two-Factor Model; Copper; Term Structure Model; Business and Economics;

    Abstract : This thesis offers a study on the performance of the short-term/long-term model by Schwartz and Smith (2000) in the copper futures market for the period 1993-07-21 to 2013-03-05. The model's performance is evaluated in terms of its ability to model the term structure of copper futures prices, and is for this purpose compared to two one-factor benchmark models, an Orstein-Uhlenbeck process and a geometric Brownian motion process. READ MORE