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Comparison of futures pricing models for carbon assets and traditional energy commodities

Kanamura, Takashi - In: The journal of alternative investments 14 (2011/12) 3, pp. 42-54

Persistent link: https://www.econbiz.de/10009501185

Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets

Kanamura, Takashi - In: Energy economics 54 (2016), pp. 204-212

Persistent link: https://www.econbiz.de/10011662814

Diversification effect of commodity futures on financial markets

Kanamura, Takashi - In: Quantitative finance and economics 2 (2018) 4, pp. 821-836

Persistent link: https://www.econbiz.de/10012176104

Supply-side perspective for carbon pricing

Kanamura, Takashi - In: Quantitative finance and economics 3 (2019) 1, pp. 109-123

Persistent link: https://www.econbiz.de/10012176441

Role of crude oil futures in financial portfolios under financialization

Kanamura, Takashi - In: The journal of alternative investments : JAI 24 (2022) 4, pp. 64-89

Persistent link: https://www.econbiz.de/10013350306

Commodity spread option with cointegration

Nakajima, Katsushi; Ōhashi, Kazuhiko - In: Asia-Pacific financial markets 23 (2016) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011619864

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - In: The journal of trading 5 (2010) 1, pp. 48-62

Persistent link: https://www.econbiz.de/10003931729

A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - 2011

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

Persistent link: https://www.econbiz.de/10009010172

Diversification effect of commodity futures on financial markets

Kanamura, Takashi - 2018

Persistent link: https://www.econbiz.de/10012133435