A continuous time equilibrium model of forward prices and futures prices in a multigood economy

1981 ◽  
Vol 9 (4) ◽  
pp. 347-371 ◽  
Author(s):  
Scott F. Richard ◽  
M. Sundaresan
Keyword(s):  
Equilibrium Model ◽  
Continuous Time ◽  
Futures Prices ◽  
Forward Prices

scholarly journals Weather Derivatives and Stochastic Modelling of Temperature

2011 ◽  
Vol 2011 ◽  
pp. 1-21 ◽  
Author(s):  
Fred Espen Benth ◽  
Jūratė Šaltytė Benth
Keyword(s):  
Stochastic Volatility ◽  
Continuous Time ◽  
Stochastic Modelling ◽  
Temperature Data ◽  
Option Prices ◽  
Futures Prices ◽  
Degree Days ◽  
Temperature Dynamics ◽  
Heating Degree Days ◽  
Model Temperature

We propose a continuous-time autoregressive model for the temperature dynamics with volatility being the product of a seasonal function and a stochastic process. We use the Barndorff-Nielsen and Shephard model for the stochastic volatility. The proposed temperature dynamics is flexible enough to model temperature data accurately, and at the same time being analytically tractable. Futures prices for commonly traded contracts at the Chicago Mercantile Exchange on indices like cooling- and heating-degree days and cumulative average temperatures are computed, as well as option prices on them.

scholarly journals An Equilibrium Model for Spot and Forward Prices of Commodities

2016 ◽  
Author(s):  
Michail Anthropelos ◽  
Michael Kupper ◽  
Antonis Papapantoleon
Keyword(s):  
Equilibrium Model ◽  
Forward Prices

Futures and Forward Prices - Theory and Hungarian Experience

2004 ◽  
Vol 54 (2) ◽  
pp. 159-174
Author(s):  
M. Radnai
Keyword(s):  
Stock Exchange ◽  
Relative Difference ◽  
Stock Index ◽  
Futures Contracts ◽  
Stock Index Futures ◽  
Futures Prices ◽  
Index Futures ◽  
Forward Prices ◽  
The Difference ◽  
Hungarian Experience

Researchers have examined the difference between forward and futures prices since the introduction of futures contracts. In this paper we derive the explicit formula for stock-index futures prices under the assumptions of lognormal asset prices, determine the relative difference between futures and forward prices, and test the model for BUX contracts traded on the Budapest Stock Exchange between 1997 and 2002.

An equilibrium model of insider trading in continuous time

2009 ◽  
Vol 32 (2) ◽  
pp. 83-128 ◽  
Author(s):  
Roberto Monte ◽  
Barbara Trivellato
Keyword(s):  
Insider Trading ◽  
Equilibrium Model ◽  
Continuous Time

Forward Prices and Futures Prices

2005 ◽  
Vol 8 (2) ◽  
pp. 80-86
Author(s):  
Emanuele Amerio
Keyword(s):  
Futures Prices ◽  
Forward Prices

VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING

2020 ◽  
Vol 23 (04) ◽  
pp. 2050027
Author(s):  
MARCEL KREMER ◽  
FRED ESPEN BENTH ◽  
BJÖRN FELTEN ◽  
RÜDIGER KIESEL
Keyword(s):  
Monte Carlo ◽  
Stochastic Models ◽  
Continuous Time ◽  
High Frequency ◽  
Futures Markets ◽  
A Priori ◽  
Futures Market ◽  
Futures Prices ◽  
Volatility Function ◽  
The Relationship

This paper investigates the relationship between volatility and liquidity on the German electricity futures market based on high-frequency intraday prices. We estimate volatility by the time-weighted realized variance acknowledging that empirical intraday prices are not equally spaced in time. Empirical evidence suggests that volatility of electricity futures decreases as time approaches maturity, while coincidently liquidity increases. Established continuous-time stochastic models for electricity futures prices involve a growing volatility function in time and are thus not able to capture our empirical findings a priori. In Monte Carlo simulations, we demonstrate that incorporating increasing liquidity into the established models is key to model the decreasing volatility evolution.

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