Thesis (Ph. D.)--University of Chicago, Dept. of Statistics, June 2001. / Includes bibliographical references. Also available on the Internet.

Thesis (Ph. D.)--University of Texas at Austin, 2003. / Vita. Includes bibliographical references. Available also from UMI Company.

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 102-104). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2003. / Typescript. Vita. Includes bibliographical references (leaves 102-104). Also available on the Internet.

published_or_final_version / abstract / toc / Economics and Finance / Master / Master of Philosophy

This dissertation investigates various issues of interest regarding the workings and uses of commodity futures markets. Chapter II evaluates the relative performances of various estimators of bid-ask spreads in futures markets using commonly available transaction data. Results indicate a wide divergence in the performance of the competing estimators. This chapter also examines the effect of automating trading on spreads in commodity futures markets. Results indicate that spreads generally widened after trading was automated on the markets considered, and the tendency for spreads to widen during periods of high volatility increased. These results are in contrast to those found in higher volume financial futures markets. Chapter III investigates various unresolved issues regarding futures markets, using formal methods appropriate for inferring causal relationships from observational data when some relevant quantities are hidden. I find no evidence supporting the generalized version of Keynes's theory of normal backwardation. I find no evidence supporting theories that predict that the level of activity of speculators or uninformed traders affects the level of price volatility, either positively or negatively. My evidence strongly supports the mixture of distribution hypothesis (MDH) that trading volume and price volatility have one or more latent common causes, resulting in their positive correlation. Chapter IV examines partial equilibrium and statistical approaches to hedging. Different types of hedgers have traditionally used each of two approaches: derivatives dealers and market makers have typically used the former approach to hedge their portfolios, while commodity producers and consumers more commonly use the latter. This research provides the first known comparison of the out-of-sample hedging performance of the two approaches. Results indicate that for a simple derivative with a linear payoff function (a futures contract), the statistical models significantly outperform the partial equilibrium models considered here.

A claim of Leland (1985) states that in the presence of transaction costs a call option on a stock S, described by geometric Brownian motion, can be perfectly hedged using Black-Scholes delta hedging with a modified volatility. Recently Kabanov and Safarian (1997) disproved this claim, giving an explicit (up to an integral) expression of the limiting hedging error, which appears to be strictly negative and depends on the path of the stock price only via the stock price at expiry ST . We prove in this paper that the limiting hedging error, considered as a function of ST, exhibits a removable discontinuity at the exercise price. Furthermore, we provide a quantitative result describing the evolution of the discontinuity, which shows that its precursors can very well be observed also in cases of reasonable length of revision intervals. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Thesis (Ph. D.)--Ohio State University, 2004. / Title from first page of PDF file. Document formatted into pages; contains x, 86 p.; also includes graphics Includes bibliographical references (p. 84-86). Available online via OhioLINK's ETD Center

Thesis (doctoral)--Universität, Siegen, 1999.

Master-Arbeit Univ. St. Gallen, 2008.