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CF weekly workshop - Michael Dempster

When Oct 05, 2010
from 05:00 PM to 06:00 PM
Where Winstanley Lecture Theatre, Trinity College
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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.

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