Model uncertainty on commodity portfolios, the role of convenience yield [PDF]
Annals of Finance, 2021 This paper investigates the effect of model uncertainty on the performance of commodity-based portfolios. We consider a constant relative risk aversion (CRRA) utility maximizer investor in a complete market, with independent ambiguity-aversion levels for
Chen J, Escobar-Anel M.
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What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis☆ [PDF]
International Review of Economics & Finance, 2023 In this study, we employ the cost of carrying model to estimate the convenience yields of gold and bitcoin. Using the COVID-19 crisis as a demand shock, we show that the convenience yield of bitcoin decreases, but the convenience yield of gold increases ...
Arkorful G, Chen H, Gu M, Liu X.
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Mathematics, 2023 In this study, we consider an intensity-based model for pricing a commodity-linked bond with credit risk. Recently, the pricing of a commodity-linked bond with credit risk under the structural model has been studied.
Junkee Jeon, Geonwoo Kim
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Prevalence of ESBL producing uropathogens and associated risk factors in catheter associated urinary tract infections a cross-sectional study from Syria [PDF]
BMC MicrobiologyBackground Catheter-associated urinary tract infections (CAUTIs) are major healthcare-associated infections driven by indwelling devices that facilitate microbial adhesion.
Walid Khaddam, Bushra Durgham
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Decision to choose optimal trading position in future contracts of consumer goods with stochastic control and based on storage theory and convenience yield [PDF]
تصمیم گیری و تحقیق در عملیات, 2022 Purpose: The main theory governing the valuation of futures contracts is the Storage Theory, in which the concept of Convenience Yield is the most important factor involved in contract pricing.
Mehdi Khajezadeh Dezfoli +3 more
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European Journal of Operational Research, 2021 In this article we derive tractable analytic solutions for futures and options prices for a linear-quadratic jump-diffusion model with seasonal adjustments in stochastic volatility and convenience yield.
C. Ewald, Yi-Han Zou
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Analysis of the Dynamics of Crude Oil Commercial Stocks with Respect to Structural Shocks and Convenience yield [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2018 Crude oil commercial stocks are one of the main components of the oil market, and its fluctuations are important in the analysis of the oil market. The purpose of this study is to investigate the unprecedented accumulation of crude oil commercial stocks ...
Abdolsadeh Neisy +3 more
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Understanding Swiss real interest rates in a financially globalized world
Swiss Journal of Economics and Statistics, 2022 This paper proposes long-run estimates of ex ante real interest rates in Switzerland and other developed economies, and it describes their relative evolution.
Philippe Bacchetta +2 more
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The magnitude of the investment yield of sharia insurance in Indonesia [PDF]
Accounting, 2021 The aim of this paper was to investigate the effect of the gross domestic product (GDP) and population on the investment yield of sharia insurance in Indonesia.
Ismail, Mutia
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How valuable is the option to defer Uganda's crude oil production?
Scientific African, 2021 Our study contributes to the limited literature on real options valuation of Africa's oil investments. We establish binomial lattices to assess the value of the option to defer crude oil production in Uganda.
Micah Lucy Abigaba +2 more
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