Essays about: "stochastic convenience yield"

Found 2 essays containing the words stochastic convenience yield.

1. 1. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Nikolas Tsigkas; [2022]
   Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

   Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE

3. 2. American Options on Commodities Under Stochastic Convenience Yield and Stochastic Volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Adriano Tosi; [2014]
   Keywords : American option; Least-Squares Method; commodity; stochastic convenience yield; stochastic volatility.; Business and Economics;

   Abstract : American and Bermudan options have a wide range of applications in financial markets, e.g. in commodities markets among others. The pricing literature of such contingent claims is broad and many different algorithms and frameworks have been developed. READ MORE