{"created":"2021-03-01T07:02:37.629328+00:00","id":42703,"links":{},"metadata":{"_buckets":{"deposit":"127037a3-48b5-46e4-97c2-f5bd388264c2"},"_deposit":{"id":"42703","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42703"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042703","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2007-11","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-529","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"This paper proposes a new three-factor model with stochastic mean reversions for commodity prices and derives the closed-form solution for the term structure of futures prices. Moreover, it confirms that the prices of crude oil and copper futures prices estimated by our model replicate the observed ones very well. Finally, detailed performance analysis of hedging illiquid long-term futures and forwards with liquid short and medium-term futures shows the validity of our method.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文ファイルはリンク先を参照のこと","subitem_description_type":"Other"},{"subitem_description":"Revised in December 2007.","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf529ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_27":{"attribute_name":"置換される","attribute_value_mlt":[{"subitem_relation_type":"isReplacedBy","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/25750","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Mizuho-DL Financial Technology Co., Ltd."},{"subitem_text_value":"Graduate School of Economics, the University of Tokyo"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Shiraya, Kenichiro"}],"nameIdentifiers":[{"nameIdentifier":"98202","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98203","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-05"},"publish_date":"2017-01-05","publish_status":"0","recid":"42703","relation_version_is_last":true,"title":["Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model"],"weko_creator_id":"1","weko_shared_id":2},"updated":"2022-12-19T04:57:08.275611+00:00"}