Talks in the summer term 18 normally will take place on wednesdays in the time between 6pm and 8pm in room S06 S00 A16 at Campus Essen (Directions).

Dates and Lecturers:

25.04.2018: Prof. Lorenz Schneider, EMLYON Business School, Lyon

Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets

Abstract:

We introduce a multi-factor stochastic volatility model based on the CIR/Heston variance process that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corresponding volatility factor is well-defined are given, and five different specifications of the seasonality pattern are proposed. We calculate the joint characteristic function of two futures prices for different maturities in the risk-neutral measure, and explain how European options on futures and calendar spread options can be priced. The model is then presented under the physical measure, and its state-space representation is derived, in order to estimate the model's parameters with the Kalman filter for time series of corn, cotton, soybean, sugar and wheat futures from 2007 to 2017. We see that the seasonal model significantly outperforms the nested non-seasonal model in all five markets, and show which seasonality patterns are particularly well-suited for each market. We also confirm the importance of correctly modelling the Samuelson effect in order to account for futures with different maturities.

06.06.2018: Prof. Emanuele Bajo, University of Bologna

TBA

Abstract:

TBA

04.07.2018: Prof. Mike Ludkovski, UCSB, Santa Barbara

TBA

Abstract:

TBA