Modelling seasonality in South African agricultural futures

• Main Author: Kirk, Richard
• Other Authors: Wilcox, Diane
• Format: Dissertation
• Language: English
• Published: University of Cape Town 2015
• Subjects: Financial Mathematics
• Online Access: http://hdl.handle.net/11427/11710

Includes bibliographical references (leaves 86-87). === This study investigates the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard no-arbitrage arguments are applied in order to derive futures and option prices. Model parameters are estimated using Kalman filter methodology and maximum likelihood estimation. Model parameters are estimated for white maize, yellow maize and wheat futures traded on the South African Futures Exchange (SAFEX). Furthermore, this research considers other models for commodity derivatives as well as pricing futures contracts in the presence of price limits.