{"created":"2021-03-01T07:02:44.772021+00:00","id":42808,"links":{},"metadata":{"_buckets":{"deposit":"dfcf6514-a791-46bc-9427-7f1961607adc"},"_deposit":{"id":"42808","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42808"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042808","sets":["62:7433:7437","9:7435:7436"]},"item_8_alternative_title_1":{"attribute_name":"その他のタイトル","attribute_value_mlt":[{"subitem_alternative_title":"Pricing and Hedging of Long-Term Futures and Forward Contracts by a Three-Factor Model"}]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2007-10","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-J-185","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-J"}]}]},"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. It also examines the relation of our model with Schwartz(1997) type models that explicitly include interest rates and convenience yields. Then, it is confirmed that the prices of crude oil and copper futures prices estimated by our model replicate the observed ones quite well. Finally, detailed performance analysis of hedging long-term futures and forwards with short-term futures are presented, which shows the validity of our method.","subitem_description_type":"Abstract"},{"subitem_description":"本論文では”stochastic mean-reversion”を用いた3 ファクター・モデルを構築するとともに，商品先物価格の解析解を導出した．さらに，Schwartz(1997)等の金利やコンビニエンス・イールドを明示的に含むモデルとの関連について検討し，ある仮定の下において商品現物価格の変動過程のみに基づく我々のアプローチと，彼らのアプローチの対応関係を示した．モデルには平均回帰水準を固定するタイプと固定しないタイプの2 種類を用い，原油(NYMEXWTI)及び銅(LME Copper)の商品先物価格を推定し，実際に取引可能な先物価格に対する高い再現性を有することを示した．さらには，長期の先物・先渡しに対しモデルに基づき適切なヘッジポートフォリオを組むことにより，効率的なヘッジが達成できることを実証及びシミュレーション分析により確認した．","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Revised in November and December 2007.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_full_name_3":{"attribute_name":"著者別名","attribute_value_mlt":[{"nameIdentifiers":[{"nameIdentifier":"98428","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Shiraya, Kenichiro"}]},{"nameIdentifiers":[{"nameIdentifier":"98429","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Takahashi, Akihiko"}]},{"nameIdentifiers":[{"nameIdentifier":"98430","nameIdentifierScheme":"WEKO"}],"names":[{"name":"Fukunishi, Yosuke"}]}]},"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/2007/2007cj185ab.html","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":"AA11451834","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"330","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":"みずほ第一フィナンシャルテクノロジー(株)"},{"subitem_text_value":"東京大学大学院経済学研究科"}]},"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":"白谷, 健一郎"}],"nameIdentifiers":[{"nameIdentifier":"98425","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"高橋, 明彦"}],"nameIdentifiers":[{"nameIdentifier":"98426","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"福西, 洋介"}],"nameIdentifiers":[{"nameIdentifier":"98427","nameIdentifierScheme":"WEKO"}]}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"jpn"}]},"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":"3 ファクター・モデルによる長期商品先物・先渡し契約の評価とヘッジ","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"3 ファクター・モデルによる長期商品先物・先渡し契約の評価とヘッジ"}]},"item_type_id":"8","owner":"1","path":["7436","7437"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42808","relation_version_is_last":true,"title":["3 ファクター・モデルによる長期商品先物・先渡し契約の評価とヘッジ"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:59.892352+00:00"}