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Event Schedule

RCAPS Current Research Seminar "Equilibrium Price of Commodity Derivative Markets" (to be held online)

This event has concluded.

Time/date:

Tuesday, October 27, 2020 14:15 - 15:50

For:

All are encouraged to attend

Venue:

This online seminar will be conducted using the Zoom online meeting application.

Speakers:

NAKAJIMA Katsushi, Associate Professor, College of International Management
Speaker's profile:
https://researcher.apu.ac.jp/apuhp/KgApp?resId=S001549&Language=2

Title:
Equilibrium Price of Commodity Derivative Markets
Outline:
This paper studies commodity spot and forward prices. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. We derive relations between spot, forward, and futures prices. The convenience yield can be interpreted as shadow price of storage. We compare our result with the existing models. The optimal production plan and trading strategy for spot commodity and forward are also derived. We prove the existence of equilibrium which implies that the pricing model is indeed an equilibrium price.

Please click here for the seminar leaflet.

Language:

English

Seating capacity:

500

Entry:

Free

Application deadline:

Sunday, October 25, 2020 23:59

Sponsors:

Ritsumeikan Center for Asia Pacific Studies

Application / Inquiries:

Please register from the following URL.
https://weareapu.zoom.us/webinar/register/WN_Pqk9-Qz6QzWKYukEcAL8QA
※Please be aware that once capacity is reached, registration will be closed.

Inquiries:
Research Office, Ritsumeikan Asia Pacific University
rcaps@apu.ac.jp

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