一个最优对冲和风险管理的随机油价模型

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2022-03-15 DOI:10.1142/s0219024922500091

T. Pennanen, Luciane Sbaraini Bonatto

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引用次数: 1

摘要

在本文中，我们建立了一个最重要的原油和成品油未来月度现货价格的随机模型。即使在最近观察到的负价格存在的情况下，该模型也很容易根据历史数据和用户的观点进行校准。这对于在不完全市场情况下的风险管理和最佳对冲策略的设计特别有用，在不完全市场情况下，完美的对冲可能是不可能的，或者实施起来非常昂贵。我们使用在纽约商品交易所(NYMEX)和洲际交易所(ICE)交易的12个最具流动性的12个期限的衍生品合约组合来说明该模型，并优化了非流动性市场中炼油厂利润的对冲策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A STOCHASTIC OIL PRICE MODEL FOR OPTIMAL HEDGING AND RISK MANAGEMENT

In this paper, we develop a stochastic model for future monthly spot prices of the most important crude oils and refined products. The model is easy to calibrate to both historical data and views of a user even in the presence of negative prices which have been observed recently. This makes it particularly useful for risk management and design of optimal hedging strategies in incomplete market situations where perfect hedging may be impossible or prohibitively expensive to implement. We illustrate the model with optimization of hedging strategies for refinery margins in illiquid markets using a portfolio of 12 most liquid derivative contracts with 12 maturities traded on New York Mercantile Exchange (NYMEX) and Intercontinental Exchange (ICE).

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.