Wharton-SMU Research Centre

Guest Speaker:

Professor Robert A. Stine
Professor of Statistics
The Wharton School, University of Pennsylvania

Date & Venue:
Date: 21 May 2008, Wednesday
Time: 2.00pm - 3.30pm
Venue: Seminar Room 2.5, Level 2
Lee Kong Chian School of Business, Singapore Management University
50 Stamford Road, Singapore 178899
( Location Map )

Topic:
Dynamic Models for the Convenience Yield of Commodities

Abstract:
In this seminar, the speaker explores the use of a class of dynamic models for predicting convenience yields of commodities. Chua, Foster, Ramaswamy and Stine (2007) develops a class of dynamic models for the forward curve. These models represent the forward curve as a sum of three components: a long term trend plus two functions that capture date and maturity specific dynamics. The models have the important attribute of being provably arbitrage free. Further into the seminar, the speaker will discuss on how similar models are fitted to the implied yields of various commodities. The fitted models are estimated using a Kalman filter using empirical model selection. As a test of the structure, the chosen models are then used to predict convenience yields. The Random Walk model and an ad hoc statistical model serve as points of reference.

Registration:
Seats are limited and on first come first served basis.
Click here to register.

Registration closes on Monday, May 19, 2008.
Light refreshment will be provided after the seminar.

Enquiries:
Ms. Dione Ng
Email: dioneng@smu.edu.sg , Tel: 6828-0803
Ms. Lim Lih Yeng
Email: lylim@smu.edu.sg , Tel: 6828-0197
Ms. Rozana Bte Osman
Email: rozanaosman@smu.edu.sg , Tel: 6828-0802