Subordinated levy processes and applications to crude oil options


Published by International Monetary Fund, African Dept. in Washington, D.C .
Written in

  • Petroleum industry and trade -- Econometric models.,
  • Commodity exchanges -- Econometric models.,
  • Petroleum products -- Prices -- Econometric models.

  • About the Edition

    One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase in oil prices. This paper recognizes both the consumption and investment aspects of crude oil and proposes Levy processes for modeling uncertainty and options pricing. Calibration to crude oil futures" options shows high volatility of oil futures prices, fat-tailed, and right-skewed market expectations, implying a higher probability mass on crude oil prices remaining above the futures" level. These findings support the view that demand for futures contracts by investors could lead to excessively high price volatility.

    Edition Notes

    Statementprepared by Noureddine Krichene.
    SeriesIMF working paper -- WP/05/174
    ContributionsInternational Monetary Fund. African Dept.
    The Physical Object
    Pagination25 p. :
    Number of Pages25
    ID Numbers
    Open LibraryOL20239763M

    Subordinated Levy Processes and Applications to Crude Oil Options by Noureddine Krichene: A Comprehensive Analysis of Petroleum Industry

    In the book "Subordinated Levy Processes and Applications to Crude Oil Options," Noureddine Krichene provides an in-depth examination of the petroleum industry and trade, with a specific focus on econometric models for commodity exchanges and crude oil price analysis. Published in 2005, this book offers valuable insights into the complex dynamics of the petroleum market and serves as a valuable resource for professionals, researchers, and enthusiasts alike.

    A Detailed Look at Petroleum Industry and Trade

    The petroleum industry plays a critical role in the global economy, and understanding its dynamics is essential for businesses, policymakers, and investors. "Subordinated Levy Processes and Applications to Crude Oil Options" delves into various aspects of the petroleum industry, shedding light on econometric models used for analyzing commodity exchanges and crude oil prices.

    In this book, Krichene explores the interplay between economic factors and the petroleum market, providing readers with a comprehensive understanding of how various variables influence price movements. The utilization of Levy processes, a class of stochastic processes, helps uncover hidden patterns and forecast future trends in crude oil options.

    Econometric Models for Commodity Exchanges

    Commodity exchanges play a crucial role in facilitating trade and price discovery for various goods, including petroleum products. "Subordinated Levy Processes and Applications to Crude Oil Options" delves into the econometric models used to analyze and predict price movements on commodity exchanges.

    Through the analysis of historical data, Krichene demonstrates how these models can help traders, investors, and analysts make informed decisions. The application of subordinated Levy processes to crude oil options provides valuable insights into pricing dynamics, risk management strategies, and arbitrage opportunities in the market.

    Analyzing Crude Oil Price Dynamics

    Crude oil prices are influenced by a multitude of factors, including global demand, geopolitical tensions, supply disruptions, and economic indicators. Understanding these dynamics is crucial for governments, companies, and individuals involved in the petroleum industry. "Subordinated Levy Processes and Applications to Crude Oil Options" offers a comprehensive analysis of these dynamics.

    Krichene's book provides readers with a deep understanding of how economic factors, market sentiments, and statistical models can help predict and interpret crude oil price movements. By combining econometric models with real-world data, readers gain valuable insights into the factors driving price volatility and the implications for market participants.

    Exploring the Significance of "Subordinated Levy Processes and Applications to Crude Oil Options"

    The book by Noureddine Krichene offers a unique perspective on the petroleum industry, combining economic analysis, econometric modeling, and statistical methods to explore crude oil options. Whether you are a researcher, industry professional, or simply curious about the petroleum market, this book provides a valuable resource for understanding the intricacies of this vital sector of the global economy.

    "Subordinated Levy Processes and Applications to Crude Oil Options" is a must-read for anyone seeking a comprehensive understanding of the petroleum industry. With its thorough analysis of econometric models, commodity exchanges, and crude oil price dynamics, this book offers valuable insights that can inform decision-making and contribute to a deeper understanding of this complex market.

    Download "Subordinated Levy Processes and Applications to Crude Oil Options" in Multiple Formats

    • Download the book in PDF format to have a portable, easily readable version.
    • Read online to access the book instantly without the need for any downloads.
    • Choose the EPUB format for compatibility with a wide range of e-readers and devices.
    • For Kindle users, the MOBI format ensures optimal reading experience.

    Whatever your preference, "Subordinated Levy Processes and Applications to Crude Oil Options" is available in various formats to suit your reading needs. Dive into the world of petroleum economics, trade, and options analysis with this insightful book by Noureddine Krichene.

    Download for free, read online, read for free, download pdf.