By Dempster, Michael Alan Howarth
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J. Financ. , 2014, 2, 141–150. , A theory of the price of storage. Am. Econ. , 1949, 39, 1254–1262. © 2016 by Taylor & Francis Group, LLC Oil Products I 1 Inconvenience Yield, or the Theory of Normal Contango Ilia Bouchouev�����������������������3 Determinants of Oil Futures Prices and Convenience Yields M. A. H. Dempster, 2 Elena Medova, and Ke Tang�����������������������������������������������������������������������������������������������������������9 Introduction • Oil Price Features • Three-Factor Model Statement • Model Interpretation • Conclusion 3 Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model Kenichiro Shiraya and Akihiko Takahashi����������������������������������������� 31 Introduction • Model • Estimation of Parameters • Futures Hedging Techniques • Stability of the Delta Hedge • Measuring the Distribution of Hedging Error Rates • Conclusion 4 An Empirical Study of the Impact of Skewness and Kurtosis on Hedging Decisions Jing-Yi Lai�������������������������������������������������������������������������������������������������������������������� 53 Introduction • The Hedging Model • The Econometrics Model • Empirical Results • Conclusion 5 L ong Term Spread Option Valuation and Hedging M.
Because of oil’s importance to the global economy, and the ease of obtaining inventory data for it and relevant economic variables, we use crude oil futures to illustrate our model’s development and to examine the various intuitions presented briefly above. After developing the model† in state space form, we use the Kalman filter to obtain the estimated historical paths of the three latent factors from observations of oil futures prices. We then perform a structural vector auto-regression (SVAR) analysis involving the three estimated factor paths and the historical paths of several economic variables, including financial, business-cycle, fundamental and trading variables.
What remains to be determined is who now collects the risk premium paid by macro-economic hedgers in the form of negative roll yield. As we saw earlier, the hedging by oil producers was not sufficient to meet growing demand from investors. Moreover, if upcoming derivatives regulations impose stricter margin requirements for over-the-counter oil transactions, the credit and liquidity capacity required by independent producers to support large-scale hedging programmes will likely decline even further.