Department     College of International Management
   Position   Associate Professor
Research Period 2014/04~2016/03
Research Topic A theoretical and empirical analysis on convenience yield and storage for commodity price
Research Type Individual Research
Research Division KAKENHI Research
Consignor Japan Society for the Promotion of Science
Research Program Type Grant-in-Aid for Young Scientists (B)
KAKENHI Grant No. 26780190
Responsibility Representative Researcher
Representative Person NAKAJIMA Katsushi
Details The purpose of this study is to derive the relationship between commodity spot price, futures price, marginal inventory cost, and the convenience yield. Furthermore, it was planned to calculate the optimal production plans and hedging strategies of a firm. In this study, we have two outcomes. One is to show how commodity spread options will be evaluated when there is a long-term relationship between number of commodity prices and convenience yields. Another is to model the convenience yield which is one of the key factor for commodity price.