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Master's Dissertation
DOI
10.11606/D.12.2012.tde-30012013-181933
Document
Author
Full name
Paulo Martins Barbosa Fortes Manoel
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Alves, Denisard Cneio de Oliveira (President)
Avelino, Ricardo Rezende Gomes
Chague, Fernando Daniel
Title in Portuguese
Impacto de saltos no comportamento de preços de commodities
Keywords in Portuguese
Bolsa de mercadorias
Derivativos
Finanças
Métodos MCMC
Petróleo
Abstract in Portuguese
Neste trabalho analisa-se a relevância de saltos no apreçamento de derivativos de commodities através da comparação de dois modelos. O primeiro leva em consideração um convenience yield com reversão à média, enquanto o segundo é uma generalização do primeiro com saltos no preço à vista. Ambos os modelos são estimados por meio de uma abordagem Bayesiana, sendo as distribuições a posteriori simuladas com o uso de técnincas da família MCMC. Dados de petróleo, trigo e cobre são utilizados para fins de estimação. A análise econométrica indica significância estatística para saltos, mas não encontrou-se evidência significativa de que saltos melhoram o apreçamento de derivativos.
Title in English
Impact of jumps on commodity prices behavior
Keywords in English
Derivatives
Finance
MCMC methods
Oil
Stock exchange
Abstract in English
In this work we analyze the relevance of jumps in the pricing of commodity contingent claims by comparing two models. The first takes into account mean-reverting convenience yields, and the second is a generalization of the first with jumps in spot prices. Both models were estimated using a Bayesian approach, and posterior distributions where simulated using MCMC techniques. Oil, copper and wheat data where used for estimation proposes. Econometric analysis indicates statistical significance for jumps, but we found no strong evidence that jumps improve derivative pricing.
 
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Publishing Date
2013-02-14
 
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