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Essays on Fundamental-Driven Quantit...

Bashiri, Ali.

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Essays on Fundamental-Driven Quantitative Financial Models.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Fundamental-Driven Quantitative Financial Models./
Author:	Bashiri, Ali.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	168 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-04(E), Section: A.
Contained By:	Dissertation Abstracts International80-04A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10937651
ISBN:	9780438681446

Essays on Fundamental-Driven Quantitative Financial Models.
Bashiri, Ali.

Essays on Fundamental-Driven Quantitative Financial Models. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 168 p.

Source: Dissertation Abstracts International, Volume: 80-04(E), Section: A.

Thesis (Ph.D.)--University of Toronto (Canada), 2018.

Fundamental and quantitative analysis are the two traditional approaches to analysis and assessment of financial products. Fundamental analysis measures intrinsic value by incorporating economic and financial indicators while quantitative approaches utilize black box methodology for valuations. In this work, we set out to develop fundamental-driven quantitative models, incorporating the underlying fundamental factors with flexibility and superiority of quantitative methods. We focus our attention on commodity markets as they represent a growing field of investment with implications for consumers, producers, and national security. We develop toolkits for model calibration and back-testing to facilitate the model development process. Utilizing the toolkits, three of the most popular commodity models were applied to crude oil prices and hedging of over-the-counter crude oil futures options. It was shown that model and parameter uncertainty have significant impact on hedging profit and loss distributions, demonstrating the need for a model that could match the price dynamics better and provide better convergence to a set of global optimal parameters. As such, the economic theory of ``price elasticity of normalized excess supply'' was developed. The economic model demonstrated superior explanatory power for crude oil, copper, nickel, zinc, lead, and tin over the period of 1995-2017. Furthermore, a system of stochastic differential equations (SDEs) model based on the economic theory was developed with analytical solutions and the model was used to value commodity derivatives and forecast commodity prices. Application of the SDEs model on crude oil demonstrated superior forecasting power compared to market participants' and other models. Furthermore, the SDEs model was applied to copper prices and then utilized within a real option analysis model to value a copper mining project, demonstrating one possible application of the theory and model.

ISBN: 9780438681446Subjects--Topical Terms:

542899
Finance.

Essays on Fundamental-Driven Quantitative Financial Models.
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245 1 0 $a Essays on Fundamental-Driven Quantitative Financial Models.
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300 $a 168 p.
500 $a Source: Dissertation Abstracts International, Volume: 80-04(E), Section: A.
500 $a Adviser: Yuri Lawryshyn.
502 $a Thesis (Ph.D.)--University of Toronto (Canada), 2018.
520 $a Fundamental and quantitative analysis are the two traditional approaches to analysis and assessment of financial products. Fundamental analysis measures intrinsic value by incorporating economic and financial indicators while quantitative approaches utilize black box methodology for valuations. In this work, we set out to develop fundamental-driven quantitative models, incorporating the underlying fundamental factors with flexibility and superiority of quantitative methods. We focus our attention on commodity markets as they represent a growing field of investment with implications for consumers, producers, and national security. We develop toolkits for model calibration and back-testing to facilitate the model development process. Utilizing the toolkits, three of the most popular commodity models were applied to crude oil prices and hedging of over-the-counter crude oil futures options. It was shown that model and parameter uncertainty have significant impact on hedging profit and loss distributions, demonstrating the need for a model that could match the price dynamics better and provide better convergence to a set of global optimal parameters. As such, the economic theory of ``price elasticity of normalized excess supply'' was developed. The economic model demonstrated superior explanatory power for crude oil, copper, nickel, zinc, lead, and tin over the period of 1995-2017. Furthermore, a system of stochastic differential equations (SDEs) model based on the economic theory was developed with analytical solutions and the model was used to value commodity derivatives and forecast commodity prices. Application of the SDEs model on crude oil demonstrated superior forecasting power compared to market participants' and other models. Furthermore, the SDEs model was applied to copper prices and then utilized within a real option analysis model to value a copper mining project, demonstrating one possible application of the theory and model.
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