THE INITIAL SPECIFICATION OF VIABLE FUTURES CONTRACTS: THE USE OF A NEW COMPUTATIONAL METHOD OF VALUE AT RISK IN IRANIAN AGRICULTURAL COMMODITIES MARKET

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HOSSEINI YEKANI S.A.; ZIBAEI M.; ALLEN D.E.

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Journal: JOURNAL OF AGRICULTURAL SCIENCE AND TECHNOLOGY (JAST) Year:2010 | Volume:12 | Issue:SUPP Page(s): 535-548

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Title

THE INITIAL SPECIFICATION OF VIABLE FUTURES CONTRACTS: THE USE OF A NEW COMPUTATIONAL METHOD OF VALUE AT RISK IN IRANIAN AGRICULTURAL COMMODITIES MARKET

Author(s)

HOSSEINI YEKANI S.A. | ZIBAEI M. | ALLEN D.E. | Issue Writer Certificate

Keywords

AGRICULTURAL FUTURES MARKETQ3

CONTRACT SPECIFICATIONSQ3

VALUE AT RISKQ3

SAMPLING APPROACHQ3

IRANQ3

Abstract

The aim of this study is to explore the feasibility of setting up a Commodities Futures Market in IRAN. Specifications for the margin requirements, daily price movement limits, the length of expiration intervals, tick sizes and contract size of various potential future contracts are hereby examined. Saffron, pistachio and rice emerge as the three suitable IRANian agricultural commodities. A new computational method of VALUE AT RISK (VaR) optimization model, using a nonparametric SAMPLING APPROACH, is employed to determine the daily margin requirements and daily price fluctuation limits. Expiration intervals are determined by the simulated daily future price with a minimum of volatility. The daily risk free interest rate and the minimum daily average trading value of a participant in the Tehran Stock Exchange (TSE) are used as benchmarks to determine the minimum tick size and contract size for each commodity. These CONTRACT SPECIFICATIONS are the initially suggested quantities for setting up an AGRICULTURAL FUTURES MARKET in IRAN.

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APA: Copy

HOSSEINI YEKANI, S.A., ZIBAEI, M., & ALLEN, D.E.. (2010). THE INITIAL SPECIFICATION OF VIABLE FUTURES CONTRACTS: THE USE OF A NEW COMPUTATIONAL METHOD OF VALUE AT RISK IN IRANIAN AGRICULTURAL COMMODITIES MARKET. JOURNAL OF AGRICULTURAL SCIENCE AND TECHNOLOGY (JAST), 12(SUPP), 535-548. SID. https://sid.ir/paper/62451/en

Vancouver: Copy

HOSSEINI YEKANI S.A., ZIBAEI M., ALLEN D.E.. THE INITIAL SPECIFICATION OF VIABLE FUTURES CONTRACTS: THE USE OF A NEW COMPUTATIONAL METHOD OF VALUE AT RISK IN IRANIAN AGRICULTURAL COMMODITIES MARKET. JOURNAL OF AGRICULTURAL SCIENCE AND TECHNOLOGY (JAST)[Internet]. 2010;12(SUPP):535-548. Available from: https://sid.ir/paper/62451/en

IEEE: Copy

S.A. HOSSEINI YEKANI, M. ZIBAEI, and D.E. ALLEN, “THE INITIAL SPECIFICATION OF VIABLE FUTURES CONTRACTS: THE USE OF A NEW COMPUTATIONAL METHOD OF VALUE AT RISK IN IRANIAN AGRICULTURAL COMMODITIES MARKET,” JOURNAL OF AGRICULTURAL SCIENCE AND TECHNOLOGY (JAST), vol. 12, no. SUPP, pp. 535–548, 2010, [Online]. Available: https://sid.ir/paper/62451/en

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