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Title: On pricing of futures contracts and derivatives in the WTI crude oil market
Author: Zong, Zhe
ISNI:       0000 0004 6353 2848
Awarding Body: University of Glasgow
Current Institution: University of Glasgow
Date of Award: 2017
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
Keywords: HG Finance