Explorations in modeling and forecast assessment of energy derivatives (CD) (Record no. 209265)

000 -LEADER
fixed length control field nam a22 7a 4500
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 180420b ||||| |||| 00| 0 eng d
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number TH 2018-06
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Bisht, Deepak
245 ## - TITLE STATEMENT
Title Explorations in modeling and forecast assessment of energy derivatives (CD)
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Ahmedabad
Name of publisher, distributor, etc Indian Institute of Management Ahmedabad
Date of publication, distribution, etc 2018
300 ## - PHYSICAL DESCRIPTION
Dimensions 86 p.
520 ## - SUMMARY, ETC.
Summary, etc Amid economic and geopolitical uncertainty, energy commodities have gone through abrupt shifts in supply and demand dynamics during the last decade. This has caused unprecedented price volatility. To manage excessive price fluctuation, a firm may prefer to hedge its production or consumption. When done well, a firm can efficiently use capital to manage its business risks rather than having a war chest to protect against fluctuating prices. However, depending on the composition of market participants and systematic factors, hedging instruments like exchange-traded futures and options can carry risk premia in their prices. Knowledge of expected premia will help a firm in taking informed hedging decisions. A commodity trading firm must use a correctly specified term structure model for futures for its spot trading, derivative pricing, and hedging operations. Inability to capture crucial aspects of price dynamics may lead to hedging errors, and arbitrage while pricing exotic derivatives. This thesis contributes to these broad issues in two ways. First, we conduct an empirical study on short-dated contracts to find the reliability of option-implied distribution as a density forecast of U.S. crude oil and natural gas. Bias in option-implied density forecast indicates the presence of risk premia, which may exist due to unhedgeable risk factors. This study helps in understanding the supply and demand of risk capital in energy complex after the financialization of commodity markets. Second, we develop a novel way of modeling commodity futures term structure by using string shocks as a noise source for future convenience yield process in the continuous semimartingale framework. We obtain the drift of future convenience yield process under no-arbitrage restriction, and derive closed-form formula for the European call option written on futures contract. The model covers some of the important aspects that are missing in earlier formulations which results into easier calibration and better option pricing.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Modeling and Forecast Assessment
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Energy Derivatives
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Energy Commodities
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Amid Economic
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Geopolitical Uncertainty
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Thesis (FPM)
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Permanent Location Current Location Shelving location Date acquired Full call number Barcode Date last seen Price effective from Koha item type
        Not for Issue Reference Vikram Sarabhai Library Vikram Sarabhai Library Audio Visual 2018-04-20 TH 2018-06 CD002560 2018-04-20 2018-04-20 Thesis (FPM)

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