Valuation of Crude Oil Futures, Options and Variance Swaps

Simple item page
atmire.migration.oldid4094
dc.contributor.advisorSwishchuk, Anatoliy
dc.contributor.authorShahmoradi, Akbar
dc.contributor.committeememberWare, Antony Frank
dc.contributor.committeememberBadescu, Alexandru
dc.contributor.committeememberMoran Villar, Pablo
dc.date.accessioned2016-01-27T19:42:40Z
dc.date.available2016-01-27T19:42:40Z
dc.date.issued2016-01-27
dc.date.submitted2016en
dc.description.abstractIn this research we provide a set of practical approaches to value crude oil futures, especially long dated ones given crude oil spot prices. Throughout the research we change the reference point for our data sets from calendar dates to time to expiry and all our models are analyzed based on time to expiry. We use a set of Levy processes to value crude oil options by calibrating parameters using Fast Fourier Transform algorithm and solving an objective function using Particle-Swap Optimization. In order to help market participants to use available crude oil storage and refinery data in pricing futures contracts and the spreads between them, we provide a framework that helps crude oil market participants to get fair value of futures and run scenario analysis if a physical factor such as level of inventories at Cushing\Oklahoma or in the US changes. We also investigated variance risk premia in crude oil prices using information obtained from crude oil option prices. Our results indicate that “usually” there is a negative risk premium in crude oil prices but that does not necessarily provide trading opportunity for market participants because excess return of shorting the variance swap show huge losses when crude oil market is in turmoil.en_US
dc.identifier.citationShahmoradi, A. (2016). Valuation of Crude Oil Futures, Options and Variance Swaps (Doctoral thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/28629en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/28629
dc.identifier.urihttp://hdl.handle.net/11023/2783
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectEducation--Mathematics
dc.subjectEconomics--Finance
dc.subjectEnergy
dc.subjectEngineering--Petroleum
dc.titleValuation of Crude Oil Futures, Options and Variance Swaps
dc.typedoctoral thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameDoctor of Philosophy (PhD)
ucalgary.item.requestcopytrue
Files
Collections
Open Theses and Dissertations