Modelling seasonality in South African agricultural futures

 

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dc.contributor.advisor Wilcox, Diane en_ZA
dc.contributor.author Kirk, Richard en_ZA
dc.date.accessioned 2015-01-07T13:39:15Z
dc.date.available 2015-01-07T13:39:15Z
dc.date.issued 2007 en_ZA
dc.identifier.citation Kirk, R. 2007. Modelling seasonality in South African agricultural futures. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/11710
dc.description Includes bibliographical references (leaves 86-87). en_ZA
dc.description.abstract This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Modelling seasonality in South African agricultural futures en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Commerce en_ZA
dc.publisher.department School of Economics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Kirk, R. (2007). <i>Modelling seasonality in South African agricultural futures</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/11710 en_ZA
dc.identifier.chicagocitation Kirk, Richard. <i>"Modelling seasonality in South African agricultural futures."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2007. http://hdl.handle.net/11427/11710 en_ZA
dc.identifier.vancouvercitation Kirk R. Modelling seasonality in South African agricultural futures. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2007 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11710 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Kirk, Richard AB - This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits. DA - 2007 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2007 T1 - Modelling seasonality in South African agricultural futures TI - Modelling seasonality in South African agricultural futures UR - http://hdl.handle.net/11427/11710 ER - en_ZA


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