This event has concluded.
Tuesday, October 27, 2020 14:15 - 15:50
All are encouraged to attend
This online seminar will be conducted using the Zoom online meeting application.
NAKAJIMA Katsushi, Associate Professor, College of International Management
Equilibrium Price of Commodity Derivative Markets
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.
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Sunday, October 25, 2020 23:59
Ritsumeikan Center for Asia Pacific Studies
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Research Office, Ritsumeikan Asia Pacific University