Thesis (Ph. D. in Economics)--Vanderbilt University, Dec. 2008. / Title from title screen. Includes bibliographical references.

Thesis (M.S.)--University of Missouri-Columbia, 2004. / Typescript. Includes bibliographical references (leaves 97-98). Also available on the Internet.

Thesis (M.S.)--University of Missouri-Columbia, 2004. / Typescript. Includes bibliographical references (leaves 97-98). Also available on the Internet.

實證證據顯示商品價格有均值回歸和跳躍的特性。由於一些商品期權收益涉及歷史商品價格的算術平均，因此我們求出算術亞式期權在均值回歸跳躍擴散過程下的分析解。比分析解是對資產價格最終值和實際平均值的聯合特徽函數進行快速傅立葉變換獲得。我們通過數值模擬研究來檢驗此建議方法的準確度和計算效率。 / Empirical evidence indicates that commodity prices are mean reverting and exhibit jumps. As some commodity option payoff involves the arithmetic average of historical commodity prices, we derive an analytical solution to arithmetic Asian options under a mean reverting jump diffusion process. The analytical solution is implemented with the fast Fourier transform based on the joint characteristic function of the terminal asset price and the realized average value. We also examine the accuracy and computational efficiency of the proposed method through numerical studies. / Detailed summary in vernacular field only. / Chung, Shing Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 40-42). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Model with constant parameters --- p.5 / Chapter 2.1 --- Model specification --- p.6 / Chapter 2.2 --- Joint characteristic function --- p.8 / Chapter 3 --- Model with time-dependent parameters --- p.12 / Chapter 3.1 --- Model specification --- p.13 / Chapter 3.2 --- Joint characteristic function --- p.13 / Chapter 4 --- Fast Fourier transform on Asian option prices --- p.18 / Chapter 5 --- Numerical results --- p.20 / Chapter 5.1 --- Comparison of the analytical solution and Monte Carlo simulation . --- p.20 / Chapter 5.2 --- Price sensitivity and model parameters --- p.26 / Chapter 5.3 --- Price sensitivity and payoff structure --- p.26 / Chapter 6 --- Conclusion --- p.33 / Chapter A --- Normally distributed jump size --- p.34 / Bibliography --- p.40

Thesis (M. Sc.(Wildlife Management))-University of Pretoria, 2006. / Includes bibliographical references. Available on the Internet via the World Wide Web.

This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.

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Orientador: Plínio Soares de Arruda Sampaio Júnior / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia / Made available in DSpace on 2018-08-27T05:12:18Z (GMT). No. of bitstreams: 1 Henriques_TatianaFerreira_M.pdf: 3707431 bytes, checksum: 244a39a8027bfe6cef7e340dbc5c4ca0 (MD5) Previous issue date: 2015 / Resumo: A presente dissertação tem como objetivo estudar o significado do ciclo recente (2003-2013) de expansão de preços das commodities primárias para a América Latina e Caribe, no que diz respeito à inserção comercial externa, tendo em vista os marcos teóricos do (sub)desenvolvimento. Para isso, de um lado, são resgatadas algumas das principais contribuições do pensamento crítico originário latino-americano, especialmente de Raúl Prebisch e Celso Furtado; e, de outro lado, são apontados elementos concretos para qualificar o debate teórico recente acerca da centralidade dos recursos naturais ao desenvolvimento da região: a visão atual da CEPAL sintetizada no paradigma do cambio estructural frente às críticas do reforço da dependência primário-exportadora e do subdesenvolvimento. As evidências empíricas foram obtidas a partir de dados de comércio (SIGCI - CEPAL e UN Comtrade) da região com o mundo e com os seus principais parceiros: Estados Unidos, União Europeia, Mercosul, Japão e, com destaque, a China. De forma generalizada, o que se notou nas economias latino-americanas foi um reforço da especialização exportadora em torno de (algumas poucas) commodities primárias e um rápido incremento da importação de manufaturados de maior intensidade tecnológica. E, especialmente no caso do comércio com a China, uma tendência à inserção externa fortemente concentrada e assimétrica, em valor e tipos de bens. Isto é, um quadro que impõe à América Latina uma posição cada vez mais subordinada na divisão internacional do trabalho e que tende a afastá-la ainda mais dos rumos da superação do subdesenvolvimento: ao invés do caminho ao cambio estructural, um aprofundamento do processo de reversão neocolonial em marcha / Abstract: The present dissertation aims to investigate the implications of the recent primary commodities¿ price expansion cycle (2003-2013) for Latin America and the Caribbean. This study set out to understand how this cycle affected the external trade insertion of the region given the theoretical framework of (under)development. In order to reach the results, in one hand, some of the main contributions to the critical debate in Latin America are recovered, especially Raúl Prebisch and Celso Furtado. In the other hand, concrete evidences are provided to support the theoretical debate on the centrality of natural resources for the regional development: ECLAC¿s current view synthetized within the "structural change" paradigm in contrast to criticism against the strengthening of the primary-export dependence and underdevelopment. Empirical evidences were obtained through foreign trade data analysis (SIGCI - ECLAC and UN Comtrade) of the region with its most important trade partners: United States of America, European Union, Mercosur, Japan and most notably China. The findings suggest that overall Latin-American economies enhanced their export specialization around (few) primary commodities in face to a rapid increase in the import levels of higher technology-intensive manufactured goods. Furthermore, especially regarding trade with China, there is a clear tendency to a highly concentrated and asymmetric external insertion in value and sorts of goods. This setting imposes an increasingly subordinated position to Latin America in the context of the international division of labor, and tends to push the region further away from overcoming its underdevelopment. Instead of directing towards the "structural change" there is a deepening of the neo colonial reversion under way / Mestrado / Teoria Economica / Mestra em Ciências Econômicas

La première partie de la thèse se compose d'une recherche empirique visant à examiner si les producteurs de produits primaires s'adaptent mieux après un choc d'offre sous un régime de taux de change flottant. À l'aide d'un modèle VAR, j'ai trouvé que les régimes de taux de change flexible n'effectuent pas mieux à isoler l'économie des chocs externes. Par conséquent, la deuxième partie de la thèse vise à établir ou non si les régimes de taux de change fournissent certains avantages pour les pays exportateurs de produits primaires tels que le fait d'attirer les investissements directs a l'étranger. À l'aide de différentes estimations économétriques, les résultats montrent que les régimes de taux de change influencent les investissements directs à l'étranger et en particulier, les régimes de change fixes plutôt que les régimes plus flexibles. / The first part of dissertation consists of an empirical research aiming at investigating whether primary commodity producers perform better after a real shock with floating exchange rate regimes. Using a VAR model I found that flexible exchange rate regimes do not perform better at insulating the output from external shocks. Therefore, the second part of the dissertation aims at establishing whether or not exchange rate regimes provide certain benefit for those countries such as attracting foreign direct investments. Using panel data estimation techniques, I found that exchange rate regimes matters in attracting FDI and in particular fixed regimes rather than flexible regimes.

Agricultural commodity derivatives were first introduced in South Africa in 1996 after the deregulation of the former marketing system. In the context of its proposed functions, namely price discovery and risk management, the question arose as to whether the futures market developed over time to performed its role efficiently. According to the Efficient Markets Hypothesis (EMH) an efficient market is one that accurately incorporates all information available at any point in time. The purpose of the research was to address the issue of price discovery efficiency, firstly, focusing on the weak-form methodology. Secondly, considering the behaviour of futures prices over time, the study addressed the concern of anomalies in daily returns – phenomena contradictory to the EMH by implication. Thirdly, as a means of defining the sources of inefficiency, the role of scheduled public information and its impact on futures prices was examined. Therefore, the primary objective of the research was to investigate and identify the main components of agricultural futures market inefficiency within the unique price formation structure of South African grain markets. The assessment of this problem is important in terms of evaluating the growth and development of the futures market for different grain commodities to date. The Exchange needs to review rules and regulations on a frequent basis in order to ensure proper functioning at all times especially in the case of a relatively new and fast growing market. The study contributed to the knowledge of understanding the price adjustment process and its implications for market efficiency in the context of the three grain markets considered. The weak-form efficiency was tested using a co-integration based model. Analysing daily spot and futures prices of white maize, yellow maize, and wheat, results indicated that all three markets were efficient and unbiased. Non-parametric tests revealed the significant presence of day-of-the-week and turn-of-the-month effects in the futures returns of the three commodities. Further non-parametric analyses suggested a high degree of uncertainty in futures returns around scheduled agricultural and macroeconomic information release dates also contributing significantly to the identified anomalies. It was concluded that (1) the markets’ ability to anticipate the contents of future information to be released, (2) the current skewed size distribution of broking members, (3) the significant role of the R/$ exchange rate in the price formation process of South African grains and, therefore, (4) the relationship to and influence of the broader economy enhanced the return effects (anomalies) creating opportunity for profitable arbitrage. This conclusion was mainly attributed to South Africa’s status as a price-taker in the world grain complex as well as the relatively short existence of the local agricultural futures markets.