Sökning: "commodity futures"
Visar resultat 1 - 5 av 10 avhandlingar innehållade orden commodity futures.
1. On the returns of trend-following trading strategies
Sammanfattning : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. LÄS MER
2. Essays on Financial Market Interdependence
Sammanfattning : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. LÄS MER
3. Climate Policy and Financial Markets
Sammanfattning : Climate change represents a serious, as-yet-unresolved global commons problem. After decades of international climate negotiations, 195 nations adopted the Paris climate agreement in December 2015. The subsequent election of Donald Trump as US president in 2016 was seen as a setback for climate policy. LÄS MER
4. AND ... AND ... AND ... : Reiterating Financial Derivation
Sammanfattning : This essay is an attempt at examining the general logic of derivation, the organisational geno-practice of financial derivationówhat I have called: reiterative derivation. I will endeavour to reiterate, to repeat otherwise, to displace the derivative distinction which apart from providing the financial markets with ever new business opportunities, makes financial instruments like options and futures the potential turning point, the crisis, the utmost risk, the pure possibility, of any economic reality. LÄS MER
5. Pricing of Some Path-Dependent Options on Equities and Commodities
Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER