Implied convenience yield and its properties
SubjectKalman filtering ; Derivatives Markets ; Derivative securities -- Prices -- Mathematical models ; Στοχαστική ανάλυση
This thesis calculates a term structure of the convenience yield for a number of commodities using observed futures prices. This shows how the market values the convenience yield. Then it assumes that the spot price and the convenience yield of a commodity follow a joint stochastic process of the CIR type and use the Kalman filter to make an approximation of the convenience yield. Finally it empirically tests the storage theory by researching the relationship between basis, convenience yield and inventories.