{"created":"2021-03-01T07:02:47.009549+00:00","id":42841,"links":{},"metadata":{"_buckets":{"deposit":"8658e39c-fedb-4bda-8ba1-a6a917f4ab6f"},"_deposit":{"id":"42841","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42841"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042841","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-04","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-618","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 shows pricing and hedging efficiency of a three factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown to fit the data well. Furthermore, it shows how to hedge based on a three-factor model and confirms that using three different futures contracts to hedge long-term contract outperforms the traditional parallel hedge based on a single futures position by time series data and simulation. It also finds that the three factor model outperforms its two-factor version in replication of actual term structures and that stochastic mean reversion models outperform constant mean reversion models in Out of Sample hedges.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","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/2009/2009cf618ab.html","subitem_relation_type_select":"URI"}}]},"item_8_relation_28":{"attribute_name":"置換する","attribute_value_mlt":[{"subitem_relation_type":"replaces","subitem_relation_type_id":{"subitem_relation_type_id_text":"http://hdl.handle.net/2261/8057","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":"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":"98489","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Takahashi, Akihiko"}],"nameIdentifiers":[{"nameIdentifier":"98490","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":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42841","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":null},"updated":"2022-12-19T04:18:00.257072+00:00"}