European Parliament Library

Recent Dynamics of Crude Oil Prices, Noureddine Krichene

Abstract
Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying fundamentals of oil markets and world economy was provided, viewing pressure on oil prices mainly as a result of rigid crude oil supply and an expanding world demand for crude oil. A change in the oil price process parameters would require a change in the underlying fundamentals. Market expectations, extracted from call and put option prices, anticipated no change, in the short term, in the underlying fundamentals. Markets expected oil prices to remain volatile and jumpy, and with higher probabilities, to rise, rather than fall, above the expected mean
Table Of Contents
""Contents""; ""I. INTRODUCTION""; ""II. EMPIRICAL ASPECTS OF FUTURES OIL PRICES DURING 2002�06""; ""III. CRUDE OIL PRICE AS A MERTON JUMP-DIFFUSION PROCESS""; ""IV. CRUDE OIL PRICE AS A VARIANCE-GAMMA LEVY PROCESS""; ""V. OPTION PRICING USING CHARACTERISTIC FUNCTIONS""; ""VI. DENSITY FORECAST OF CRUDE OIL PRICES: THE INVERSE PROBLEM""; ""VII. CONCLUSIONS""; ""Annex 1. Method of Cumulants of Probability Distributions""; ""References""
Language
eng
Literary Form
non fiction
Note
At head of title: African Dept
Physical Description
1 online resource (30 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462380060

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