Fusai / Roncoroni / Cummins | Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management | Buch | sack.de

Fusai / Roncoroni / Cummins Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management



1. Auflage 2015, 1064 Seiten, Gebunden, Format (B × H): 173 mm x 246 mm, Gewicht: 1905 g Reihe: Wiley Finance
ISBN: 978-0-470-74524-3
Verlag: WILEY


Fusai / Roncoroni / Cummins Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management

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Preface xixAcknowledgements xxiiiAbout the Editors xxvList of Contributors xxviiPART ONE Commodity Markets and ProductsCHAPTER 1 Oil Markets and Products 3Cristiano Campi and Francesco Galdenzi1.1 Introduction 31.2 Risk Management for Corporations: Hedging Using Derivative Instruments 41.2.1 Crude Oil and Oil Products Risk Management for Corporations 41.3 Oil Physical Market Hedging and Trading 41Further Reading 66CHAPTER 2 Coal Markets and Products 67Lars Schernikau2.1 Introduction 672.2 Source of Coal - Synopsis of the Resource Coal 722.3 Use of Coal - Power Generation and More 902.4 Overview of Worldwide Steam Coal Supply and Demand 1022.5 The Global Steam Coal Trade Market and its Future 1212.6 Concluding Words 129Abbreviations and Definitions 130Acknowledgements 132References 132CHAPTER 3 Natural Gas Markets and Products 135Mark Cummins and Bernard Murphy3.1 Physical Natural Gas Markets 1353.2 Natural Gas Contracting and Pricing 1543.3 Financial Natural Gas Markets 158References 180CHAPTER 4 Electricity Markets and Products 181Stefano Fiorenzani, Bernard Murphy and Mark Cummins4.1 Market Structure and Price Components 1814.2 Renewables, Intra-Day Trading and Capacity Markets 2054.3 Risk Measures for Power Portfolios 216References 221Further Reading 221CHAPTER 5 Emissions Markets and Products 223Marc Chesney, Luca Taschini and Jonathan Gheyssens5.1 Introduction 2235.2 Climate Change and the Economics of Externalities 2245.3 The Kyoto Protocol 2275.4 The EU ETS 2325.5 Regional Markets: A Fragmented Landscape 2395.6 A New Asset Class: CO2 Emission Permits 241Abbreviations 252References 252CHAPTER 6 Weather Risk and Weather Derivatives 255Alessandro Mauro6.1 Introduction 2556.2 Identification of Volumetric Risk 2576.3 Atmospheric Temperature and Natural Gas Market 2646.4 Modification of Weather Risk Exposure with Weather Derivatives 2726.5 Conclusions 276Nomenclature 277References 277CHAPTER 7 Industrial Metals Markets and Products 279Alessandro Porru7.1 General Overview 2797.2 Forward Curves 3057.3 Volatility 337Acknowledgements 352References 353Further Reading 353CHAPTER 8 Freight Markets and Products 355Manolis G. Kavussanos, Ilias D. Visvikis and Dimitris N. Dimitrakopoulos8.1 Introduction 3558.2 Business Risks in Shipping 3568.3 Freight Rate Derivatives 3668.4 Pricing, Hedging and Freight Rate Risk Measurement 3828.5 Other Derivatives for the Shipping Industry 3938.6 Conclusion 396Acknowledgements 396References 397CHAPTER 9 Agricultural and Soft Markets 399Francis Declerk9.1 Introduction: Stakes and Objectives 3999.2 Agricultural Commodity Specificity and Futures Markets 4009.3 Demand and Supply, Price Determinants and Dynamics 4099.4 Hedging and Basis Management 4669.5 The Financialization of Agricultural Markets and Hunger: Speculation and Regulation 4809.6 Conclusion about Hedging and Futures Contracts 493References 495Further Reading 496Glossary, Quotations and Policy on Websites 497CHAPTER 10 Foreign Exchange Markets and Products 499Antonio Castagna10.1 The FX Market 49910.2 Pricing Models for FX Options 50910.3 The Volatility Surface 51110.4 Barrier Options 51210.5 Sources of FX Risk Exposure 51310.6 Hedging FX Exposures Embedded in Energy and Commodity Contracts 51710.7 Typical Hedging Structures for FX Risk Exposure 533References 553PART TWO Quantitative TopicsCHAPTER 11 An Introduction to Stochastic Calculus with Matlab(r) Examples 557Laura Ballotta and Gianluca Fusai11.1 Brownian Motion 55811.2 The Stochastic Integral and Stochastic Differential Equations 56611.3 Introducing It^o's Formula 57511.4 Important SDEs 58111.5 Stochastic Processes with Jumps 618References 633Further Reading 633CHAPTER 12 Estimating Commodity Term Structure Volatilities 635Andrea Roncoroni, Rachid Id Brik and Mark Cummins12.1 Introduction 63512.2 Model Estimation Using the Kalman Filter 63512.3 Principal Components Analysis 64612.4 Conclusion 655Appendix 655References 657CHAPTER 13 Nonparametric Estimation of Energy and Commodity Price Processes 659Gianna Figà-Talamanca and Andrea Roncoroni13.1 Introduction 65913.2 Estimation Method 66013.3 Empirical Results 663References 672CHAPTER 14 How to Build Electricity Forward Curves 673Ruggero Caldana, Gianluca Fusai and Andrea Roncoroni14.1 Introduction 67314.2 Review of the Literature 67414.3 Electricity Forward Contracts 67514.4 Smoothing Forward Price Curves 67714.5 An Illustrative Example: Daily Forward Curve 67914.6 Conclusion 684References 684CHAPTER 15 GARCH Models for Commodity Markets 687Eduardo Rossi and Filippo Spazzini15.1 Introduction 68715.2 The GARCH Model: General Definition 69015.3 The IGARCH(p,q) Model 69915.4 A Permanent and Transitory Component Model of Volatility 70015.5 Asymmetric Models 70215.6 Periodic GARCH 70715.7 Nesting Models 70815.8 Long-Memory GARCH Models 71315.9 Estimation 72015.10 Inference 72215.11 Multivariate GARCH 72515.12 Empirical Applications 72715.13 Software 740References 748CHAPTER 16 Pricing Commodity Swaps with Counterparty Credit Risk: The Case of Credit Value Adjustment 755Marina Marena, Gianluca Fusai and Chiara Quaglini16.1 Introduction 75516.2 Company Energy Policy 75616.3 A Focus on Commodity Swap Contracts 75816.4 Modelling the Dynamics of Oil Spot Prices and the Forward Curve 76016.5 An Empirical Application 76416.6 Measuring Counterparty Risk 77716.7 Sensitivity Analysis 78816.8 Accounting for Derivatives and Credit Value Adjustments 78816.9 Conclusions 797References 798Further Reading 798CHAPTER 17 Pricing Energy Spread Options 801Fred Espen Benth and Hanna Zdanowicz17.1 Spread Options in Energy Markets 80117.2 Pricing of Spread Options with Zero Strike 80517.3 Issues of hedging 81317.4 Pricing of Spread Options with Nonzero Strike 815Acknowledgement 824References 825CHAPTER 18 Asian Options: Payoffs and Pricing Models 827Gianluca Fusai, Marina Marena and Giovanni Longo18.1 Payoff Structures 83218.2 Pricing Asian Options in the Lognormal Setting 83318.3 A Comparison 85618.4 The Flexible Square-Root Model 85818.5 Conclusions 874References 874CHAPTER 19 Natural Gas Storage Modelling 877Álvaro Cartea, James Cheeseman and Sebastian Jaimungal19.1 Introduction 87719.2 A Simple Model of Storage, Futures Prices, Spot Prices And Convenience Yield 87819.3 Valuation of Gas Storage 880References 899CHAPTER 20 Commodity-Linked Arbitrage Strategies and Portfolio Management 901Viviana Fanelli20.1 Commodity-Linked Arbitrage Strategies 90220.2 Portfolio Optimization with Commodities 921Symbols 936References 936CHAPTER 21 Econometric Analysis of Energy and Commodity Markets: Multiple Hypothesis Testing Techniques 939Mark Cummins21.1 Introduction 93921.2 Multiple Hypothesis Testing 94021.3 Energy-Emissions Market Interactions 94321.4 Emissions Market Interactions 95321.5 Quantitative Spread Trading in Oil Markets 956References 964APPENDIXA Quick Review of Distributions Relevant in Finance with Matlab(r) Examples 967Laura Ballotta and Gianluca FusaiIndex


Fusai, Gianluca
ANDREA RONCORONI is Professor of Finance at ESSEC Business School (Paris-Singapore), regular Visiting Professor at Bocconi University (Milan), and Director of the ESSEC Energy and Commodity Finance research center. He holds PhD's in Applied Mathematics and in Finance. His research interests primarily cover energy and commodity markets, corporate financial risk analysis and management, quantitative modelling, derivative design and valuation. Andrea put forward the Threshold Model for price simulation in spiky electricity markets, and devised FloRisk Metrics, an effective analytics to monitor and manage corporate financial exposure. He publishes in academic journals, professional reviews, financial book series, and acts as Associate Editor for the Journal of Energy Markets and Co-Editor for Argo Review. Andrea has co-authored the reference volume Implementing Models in Quantitative Finance. As a professional advisor, he consulted for private companies and public institutions, including Dong Energy, Edison, Enel, GDF, Natixis, and Trafigura Electricity Italia (TEI Energy). He is founder and CEO of Energisk, a start-up company developing cutting-edge risk analytics for corporate clients.GIANLUCA FUSAI is Full Professor in Financial Mathematics at the University of Eastern Piedmont, Italy, and a PT Reader in Mathematical Finance at Cass Business School, City University of London, UK. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. His research interests focus on Energy Markets, Financial Engineering, Numerical Methods for Finance, Quantitative Risk Management. He has published extensively on these topics in top-tier international reviews. Gianluca has also co-authored the best-selling textbook Implementing Models in Quantitative Finance. Gianluca has cooperated to several projects in energy markets including a multi-energy risk assessment tool developed in conjunction with a pool of energy and industrial companies and a forward curve builder for the power and gas markets nowadays used for trading and marking to market. He has also been a consultant for private and public sector on building pricing tools of derivative products. Gianluca has been an expert witness in several derivative disputes.MARK CUMMINS is Senior Lecturer in Finance at the Dublin City University Business School and holds a PhD in Quantitative Finance. Mark's research interests include a broad range of energy and commodity modelling, derivatives, risk management and trading topics. Mark has published in international journals such as Energy Economics, Applied Energy and the Journal of Energy Markets, as well as mainstream finance journals such as the Journal of Financial Markets, International Review of Financial Analysis and Quantitative Finance. Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International Ltd. As part of the Risk Quantitative Analysis team, primary responsibilities included derivatives and price curve model validation and development, with a global remit across BP's energy and commodity activities. Mark is engaged in ongoing industry training and consultancy activities, focused on the energy sector primarily.



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