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Modelling seasonality in South African agricultural futures
Includes bibliographical references (leaves 86-87).
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2015
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| _version_ | 1867613312403898368 |
|---|---|
| access_status_str | Open Access |
| author | Kirk, Richard |
| author2 | Wilcox, Diane |
| author_browse | Kirk, Richard Wilcox, Diane |
| author_facet | Wilcox, Diane Kirk, Richard |
| author_sort | Kirk, Richard |
| collection | Thesis |
| description | Includes bibliographical references (leaves 86-87). |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11710 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:08.683Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11710 Modelling seasonality in South African agricultural futures Kirk, Richard Wilcox, Diane Financial Mathematics Includes bibliographical references (leaves 86-87). This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits. 2015-01-07T13:39:15Z 2015-01-07T13:39:15Z 2007 Master Thesis Masters MSc http://hdl.handle.net/11427/11710 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Financial Mathematics Kirk, Richard Modelling seasonality in South African agricultural futures |
| thesis_degree_str | Master's |
| title | Modelling seasonality in South African agricultural futures |
| title_full | Modelling seasonality in South African agricultural futures |
| title_fullStr | Modelling seasonality in South African agricultural futures |
| title_full_unstemmed | Modelling seasonality in South African agricultural futures |
| title_short | Modelling seasonality in South African agricultural futures |
| title_sort | modelling seasonality in south african agricultural futures |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/11710 |
| work_keys_str_mv | AT kirkrichard modellingseasonalityinsouthafricanagriculturalfutures |