Cuadernos del CIPE No. 40. The Ornstein - Uhlenbeck process. An introduction for commodity modelling with smeextensions.

An example for the London Cocoa Net Spot Convenience Yield

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One of the canonical models for commodity international financial markets is known as the Gibson and Schwartz (1990) model. In this model, a second variable different from the Standard Spot Price of the commodity, known as the Net Spot Convenience Yield, is modelled through an Ornstein-Uhlenbeck process. Based on this, it is fundamental for anyone who aims to work in the commodity modelling field to know the particularities of this stochastic process: (I) its general history; (II) the intuition and interpretation behind it; (III) its general solution; (IV) so me of its particular characteristics; (V) the statistics inspired by it that help to test the presence of a mean-reverting pattern or not of a time-series and (VI) the calibration methods. Finally, so me of these features will be applied to the concrete case of the London Cocoa Net Spot Convenience Yield.


BUS017000 NEGOCIOS ECONÓMICOS > Finanzas corporativas > General
BUS017000 Gestión financiera de las sociedades
  1. Nombre
    • Carlos Armando Mejía Vega

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