skip to primary navigationskip to content

CF weekly workshop - Michael Dempster

When Oct 05, 2010
from 05:00 PM to 06:00 PM
Where Winstanley Lecture Theatre, Trinity College
Contact Name
Add event to calendar vCal

Prof Michael Dempster of CFR presenting.

Title: Long and short term jumps in commodity futures prices

Abstract: This paper is the latest of a sequence developing new commodity pricing techniques. It analyzes long and short term jumps in commodity futures prices from the statistical and economic perspectives. First we show that both commodity futures returns and convenience yields are strongly leptokurtotic. We then propose a non-Gaussian model for futures prices by adding jumps to the Schwartz-Smith(2000) model. Thirdly we propose a new state space form to calibrate the extended model. Estimates of jump arrival times indicate that both important surprising information and market activity generate jumps of different intensities. As an application of our model we show that jumps are an important ingredient in pricing options on commodity futures.

« February 2017 »

RSS Feed Latest news

CERF PhD Scholarship competition 2017 - now closed

Nov 08, 2016

For the fifth year, Cambridge Endowment for Research in Finance is offering a scholarship scheme.

View all news

Upcoming events

Cambridge Finance Workshop - H. Peyton Young

Mar 09, 2017

Room W4.03, Cambridge Judge Business School

Cambridge Finance Workshop - Erwan Morellec

May 04, 2017

Room W4.03, Cambridge Judge Business School

Previous events

Upcoming events