• Search Research Projects
  • Search Researchers
  • How to Use
  1. Back to previous page

A theoretical and empirical analysis on convenience yield and storage for commodity price

Research Project

Project/Area Number 26780190
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Money/ Finance
Research InstitutionRitsumeikan Asia Pacific University

Principal Investigator

NAKAJIMA Katsushi  立命館アジア太平洋大学, 国際経営学部, 助教 (90721572)

Project Period (FY) 2014-04-01 – 2016-03-31
Project Status Completed (Fiscal Year 2015)
Budget Amount *help
¥2,080,000 (Direct Cost: ¥1,600,000、Indirect Cost: ¥480,000)
Fiscal Year 2015: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000)
Fiscal Year 2014: ¥1,430,000 (Direct Cost: ¥1,100,000、Indirect Cost: ¥330,000)
Keywords金融論 / コモディティ / 在庫理論 / コンビニエンス・イールド / 先物 / オプション / ヘッジ / コンビニエンス・イールド / 生産関数 / 在庫費用関数 / 共和分
Outline of Final Research Achievements

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.

Report

(3 results)
  • 2015 Annual Research Report   Final Research Report ( PDF )
  • 2014 Research-status Report
  • Research Products

    (14 results)

All 2016 2015 2014 Other

All Journal Article (2 results) (of which Peer Reviewed: 1 results,  Acknowledgement Compliant: 1 results) Presentation (7 results) (of which Int'l Joint Research: 3 results) Remarks (5 results)

  • [Journal Article] Commodity Spread Option with Cointegration2016

    • Author(s)
      Katsushi Nakajima and Kazuhiko Ohashi
    • Journal Title

      Asia-Pacific Financial Markets

      Volume: 23 Issue: 1 Pages: 1-44

    • DOI

      10.1007/s10690-015-9207-1

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Acknowledgement Compliant
  • [Journal Article] 長期的な相互関係を考慮したコモディティ価格モデル2014

    • Author(s)
      大橋和彦、中島克志
    • Journal Title

      コモディティ市場と投資戦略

      Volume: 一 Pages: 189-209

    • Related Report
      2014 Research-status Report
  • [Presentation] Commodity Spot and Futures Prices with a Firm's Optimal Strategy2016

    • Author(s)
      Katsushi Nakajima
    • Organizer
      Energy and Commodity Finance Conference 2016
    • Place of Presentation
      Essec Business School, France
    • Year and Date
      2016-06-23
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Commodity Spot and Futures Prices with a Firm's Optimal Strategy2016

    • Author(s)
      Katsushi Nakajima
    • Organizer
      日本ファイナンス学会第24回大会
    • Place of Presentation
      横浜国立大学
    • Year and Date
      2016-05-22
    • Related Report
      2015 Annual Research Report
  • [Presentation] Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading2015

    • Author(s)
      Katsushi Nakajima
    • Organizer
      Quantitative Methods in Finance Conference 2015
    • Place of Presentation
      University of Technology, Sydne, Australia
    • Year and Date
      2015-12-15
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading2015

    • Author(s)
      Katsushi Nakajima
    • Organizer
      JAFEE 2015 夏季大会
    • Place of Presentation
      中央大学市ヶ谷田町キャンパス
    • Year and Date
      2015-08-07
    • Related Report
      2015 Annual Research Report
  • [Presentation] Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading2015

    • Author(s)
      Katsushi Nakajima
    • Organizer
      Stochastics and Computational Finance 2015
    • Place of Presentation
      University of Lisbon - ISEG & CEMAPRE, Portugal
    • Year and Date
      2015-07-06
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research
  • [Presentation] Convenience Yield Revisited: Using Profit Maximization Discrete-Time Model2015

    • Author(s)
      Katsushi Nakajima
    • Organizer
      日本ファイナンス学会第23回大会
    • Place of Presentation
      東京大学本郷キャンパス
    • Year and Date
      2015-06-06
    • Related Report
      2015 Annual Research Report
  • [Presentation] Convenience Yield Revisited: Using Production Based Discrete-Time Model2014

    • Author(s)
      中島克志
    • Organizer
      日本金融・証券計量・工学学会 2014 夏季大会
    • Place of Presentation
      成城大学(東京都世田谷区)
    • Year and Date
      2014-08-01
    • Related Report
      2014 Research-status Report
  • [Remarks] 研究代表者の論文のリストとそのリンク

    • URL

      https://sites.google.com/site/katsushinakajimaresearch/research

    • Related Report
      2015 Annual Research Report
  • [Remarks] Social Science Research Networkにあるワーキング・ペーパー

    • URL

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603946

    • Related Report
      2015 Annual Research Report
  • [Remarks] Social Science Research Networkにあるワーキング・ペーパー

    • URL

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2758433

    • Related Report
      2015 Annual Research Report
  • [Remarks] Convenience Yield Revisited

    • URL

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603946

    • Related Report
      2014 Research-status Report
  • [Remarks] Commodity Spread Option with Cointegration

    • URL

      http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2603974

    • Related Report
      2014 Research-status Report

URL: 

Published: 2014-04-04   Modified: 2017-05-10  

Information User Guide FAQ News Terms of Use Attribution of KAKENHI

Powered by NII kakenhi