Commodities

Fundamental Theory of Futures, Forwards, and Derivatives Pricing
2. Auflage 2022
ISBN: 978-1-032-20817-6
Verlag: Taylor & Francis

Buch, Englisch, 864 Seiten, Format (B × H): 178 mm x 254 mm, Gewicht: 1860 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets.

After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments.

- Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil

- Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals

- Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds

- Electricity Markets supplies an overview of the current and future modelling of electricity markets

- Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

Autoren/Hrsg.

Dempster, M. A. H.

Tang, Ke

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Stochastik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Section I. Oil Products

Chapter 1. The Volatility Risk Premium in the Oil Market
I. Bouchouev and Brett Johnson

Chapter 2. Determinants of Oil Futures Prices and Convenience Yields

M.A.H. Dempster, Elena Medova and Ke Tang

Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model
Kenichiro Shiraya and Akihiko Takahashi

Chapter 4 Planning Logistics Operations in the Oil Industry

M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos

Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging

Andrés Garcia Mirantes, Javier Poblacion and Gregorio Serna

Chapter 6. Long-Term Spread Option Valuation and Hedging

M.A.H. Dempster, Elena Medova and Ke Tang

Section II. Other Commodities

Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices

Mikkel Bennedsen

Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration Approach
Lucia Baldi, Massimo Peri and Daniela Vandone

Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?

Liyan Han, Rong Liang and Ke Tang

Chapter 10. The Structure of Gold and Silver Spread Returns

Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi

Chapter 11. Gold and the US dollar: Tales from the Turmoil

Paolo Zagaglia and Massimiliano Marzo

Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China
Lei Cui, Ke Huang and H.J. Cai

Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk

Fred E. Benth, Troels S. Christensen and Victor Rohde

Section III. Commodity Prices and Markets

Chapter 14. Short-Horizon Return Predictability and Oil Prices

Jaime Casassus and Freddy Higuera

Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts

Joseph McCarthy and Alexei G. Orlov

Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model
Elyas Elyasiani, Iqbal Mansur and Babatunde. Odusami

Chapter 17 Long-Short Versus Long-Only Commodity Funds

John M. Mulvey

Chapter 18. The Dynamics of Commodity Prices

Chris Brooks and Marcel Prokopczuk

Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices
Michael Graham, Jarno Kiviaho and Jussi Nikkinen

Chapter 20. Commodity Markets through the Business Cycle

Julien Chevallier, Mathieu Gatumel and Florian Ielpo

Chapter 21. A Hybrid Commodity and Interest Rate Market Model

Kay F. Pilx and Erik SchlögI

Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least-Squares Monte Carlo Methods on Graphics Processing Units

W. Dong and B. Kang

Section IV. Electricity Markets

Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison
Sandro Sapio

Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets

Elvind Helland, Timur Aka and Eric Winnington

Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets

Ben Hambly, Sam Howison and Tino Kluge

Chapter 26. Efficient Pricing of Swing Options in Levy-Driven Models
Oleg Kudryavtsev and Antonino Zanette

Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
René Carmona, Michael Coulon and Daniel Schwartz

Chapter 28. Is EUA a New Asset Class?
Vicente Medina and Angel Pardo

Section V. Contemporary Topics

Chapter 29. Volatility Is Rough
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum

Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model

Frédéric Abérgél, Côme Huré and Huyên Pham

Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money?

Viktor Manahov

Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach

Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao

Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) Framework
Alexander Wehrli and Didier Sornette

Über Autor(innen)

M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, he has taught and researched in leading universities on both sides of the Atlantic and is founding editor-in-chief of Quantitative Finance and the Oxford Handbooks in Finance. Consultant to many global financial institutions, corporations and governments, he is regularly involved in research presentation and executive education worldwide. He is the author of over 110 research articles in leading international journals and 14 books; his work has won several awards and he is an honorary fellow of the UK Institute of Actuaries, a foreign member of the Academia Lincei (Italian Academy) and managing director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.

Ke Tang is a professor in the Institute of Economics, School of Social Science, Tsinghua University, where he teaches courses in economics and finance. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the University of California, Berkley in 2004, and his doctoral degree in Finance from Cambridge University in 2008. His research has covered such topics as commodity markets, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.