Modelling seasonality in South African agricultural futures

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dc.contributor.advisorWilcox, Dianeen_ZA
dc.contributor.authorKirk, Richarden_ZA
dc.date.accessioned2015-01-07T13:39:15Z
dc.date.available2015-01-07T13:39:15Z
dc.date.issued2007en_ZA
dc.descriptionIncludes bibliographical references (leaves 86-87).en_ZA
dc.description.abstractThis 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.identifier.apacitationKirk, 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/11427/11710en_ZA
dc.identifier.chicagocitationKirk, 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/11427/11710en_ZA
dc.identifier.citationKirk, R. 2007. Modelling seasonality in South African agricultural futures. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/11710
dc.identifier.vancouvercitationKirk 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/11427/11710en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleModelling seasonality in South African agricultural futuresen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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