Energy Commodities

Markets and Models - 50 Years on from Black
1. Auflage 2027
ISBN: 978-1-032-74997-6
Verlag: Taylor & Francis Ltd

Buch, Englisch, 136 Seiten, Format (B × H): 178 mm x 254 mm, Gewicht: 453 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

“Whether you are just beginning to explore commodity markets or are already deeply immersed in them, I believe you will find insight, structure, and inspiration in the pages that follow.”

—Prof. John Crosby, Old Dominion University (from the Foreword)

Energy Commodities: Markets and Models – 50 Years on from Black offers a comprehensive treatment of commodity derivatives, combining market fundamentals with modern quantitative finance. It begins by introducing commodity markets and the principal derivative contracts traded on the world's major exchanges, together with an overview of energy commodity markets and the characteristics of crude oil, natural gas, and coal markets. It then examines the stylised facts that distinguish fossil fuel prices from those of traditional financial assets, including the theory of storage, the term structure of futures prices, mean reversion, seasonality, the Samuelson effect, and price jumps.

Building on these foundations, the book explores the evolution of global energy markets through an analysis of the energy system, the roles of crude oil, natural gas, and coal, and the geopolitical and market events that have shaped commodity prices during the 21st century. This economic and historical perspective provides the context for the book's core contribution: a systematic review of more than thirty stochastic models for commodity price dynamics. Spot-based and futures-based approaches are presented within a unified mathematical framework, allowing readers to compare their assumptions, structures, and approaches to modelling commodity price dynamics and derivative pricing.

Bridging commodity economics, financial theory, and quantitative modelling, this book is intended for graduate students, researchers, quantitative analysts, and practitioners working in commodity markets, energy finance, financial engineering, and risk management.

Features

- Detailed appendix summarising the key equations of six of the models reviewed, together with a comparative table of the 32 models

- Provides both a practical reference and teaching resource for graduate students, researchers, and practising quants

- Offers historical and economic context on global energy markets, highlighting major geopolitical events of the 21st century

Zielgruppe

Academic, Postgraduate, and Professional Reference

Autoren/Hrsg.

Frau, Carme

Fachgebiete

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

Inhaltsverzeichnis

1. Introduction 2. Commodity Markets 3. Stylised Facts 4. Key Features: Price History 5. Models for Price Dynamics: the State of the Art 6. Annex for Models

Über Autor(innen)

Carme Frau received a B.Sc. in Economics from the University of the Balearic Islands (UIB), Spain, in 2004, and an M.Sc. in Quantitative Finance from Analistas Financieros Internacionales (AFI), Spain, the same year. She subsequently enrolled in the joint Master’s programme in Banking and Quantitative Finance—offered by Universidad Complutense de Madrid (UCM), Universidad del Pa´is Vasco (UPV), Universidad de Valencia (UV), and Universidad de Castilla-La Mancha (UCLM)— Spain, from which she received her M.Sc. degree in 2010. She later completed the joint Ph.D. programme in Quantitative Finance and Economics offered by the same universities, obtaining her Ph.D. (with International Mention) in 2022. Her doctoral dissertation received the Extraordinary Doctoral Award. She has been an Assistant Professor at UIB since 2022, where she teaches undergraduate and master’s-level courses in Finance. Previously, she served as an Adjunct Professor at UCM (2018–2020). Before joining academia, she accumulated 15 years of international professional experience in the private sector as a quant, specialising in the development of pricing libraries for derivatives across multiple asset classes, as well as in market risk measurement, particularly Value at Risk (VaR). Her research focuses on quantitative finance, with an emphasis on stochastic modelling and derivative pricing in energy commodity markets, particularly through Fourier transform techniques. Her work has been published in internationally recognised journals such as Energy Economics and Annals of Operations Research, and her research has been presented at numerous conferences, including those at Commodity & Energy Markets Association (CEMA), Forum of Finance, Energy Finance Italy (EFI), and Asociación Española para la Economía Energética (AEEE). This is her first book, combining academic research and extensive industry experience to provide a comprehensive and unified treatment of stochastic models for commodity derivative pricing.