On pricing of futures contracts and derivatives in the WTI crude oil market

Zong, Zhe (2017) On pricing of futures contracts and derivatives in the WTI crude oil market. PhD thesis, University of Glasgow.

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Printed Thesis Information: https://eleanor.lib.gla.ac.uk/record=b3271540


Ever since a stochastic process for valuing futures contracts was first introduced by Black in 1976, a large number of people have been drawn to this developing domain of quantitative finance. To be more specific, at the end of the last century, Schwartz built a factor model system, step by step, with different co-workers. Following that, crude oil has been experiencing an unprecedented boom since the beginning of this century. This commodity and its related financial products play an unprecedentedly important role in the financial markets and in our day-to-day life. In this thesis, the standards for WTI futures contracts and their options will be introduced after the introduction. Then, the original Schwartz (1997) model system, including the One-Factor model, the Two-Factor model and the Three-Factor model, is discussed in the following section. The thesis focuses next on augmenting the original Two-Factor model. For example, the Two-Factor model will be run based on different estimation methods and will be combined with an options pricing model. Lastly, the stochastic process of the volatility of the spot price of WTI crude oil will be inserted into the original Two-Factor model and the Three-Factor model, which means that new Three-Factor and Four-Factor models will be proposed in this thesis.

Item Type: Thesis (PhD)
Qualification Level: Doctoral
Subjects: H Social Sciences > HG Finance
Colleges/Schools: College of Social Sciences > Adam Smith Business School
Supervisor's Name: Ewald, Professor Christian
Date of Award: 2017
Depositing User: Dr Zhe Zong
Unique ID: glathesis:2017-8237
Copyright: Copyright of this thesis is held by the author.
Date Deposited: 07 Jun 2017 08:02
Last Modified: 15 Apr 2020 16:28
Thesis DOI: 10.5525/gla.thesis.8237
URI: http://theses.gla.ac.uk/id/eprint/8237

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