Commodities and Commodity Derivatives

Modeling and Pricing for Agriculturals, Metals and Energy
1. Auflage 2005
ISBN: 978-0-470-01218-5
Verlag: Wiley

Buch, Englisch, 416 Seiten, Format (B × H): 175 mm x 250 mm, Gewicht: 899 g

Reihe: Wiley Finance Series

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset class for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

* Economic and geopolitical issues in commodities markets
* Commodity price and volume risk
* Stochastic modelling of commodity spot prices and forward curves
* Real options valuation and hedging of physical assets in the energy industry

It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

Autoren/Hrsg.

Geman, Helyette

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Börse, Rohstoffe

Inhaltsverzeichnis

Foreword by Nassim Nicholas Taleb.

Preface.

Acknowledgements.

1. Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies.

2. Equilibrium Relationships between Spot Prices and Forward Prices.

3. Stochastic Modeling of Commodity Price Processes.

4. Plain-Vanilla Option Pricing and Hedging: From Stocks to Commodities.

5. Risk-neutral Valuation of Plain-Vanilla Options.

6. Monte-Carlo Simulations and Analytical formulae for Asian, Barrier and Quanto Options.

7. Agricultural Commodity Markets.

8. The Structure of Metal Markets and Metal Prices.

9. The Oil Market as a World Market.

10. The Gas Market as the Energy Market of the Next Decades.

11. Spot and Forward Electricity Markets.

12. Commodity Swaptions, Swing Contracts and Real Options in the Energy Industry.

13. Coal, Emissions and Weather.

14. Commodities as a New Asset Class.

Appendix: Glossary.

References.

Index.

Über Autor(innen)

Helyette Geman is a Professor of Finance at the University Paris Dauphine and ESSEC Graduate Business School. She is a graduate of the Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, covering the spectrum of oil, natural gas and electricity as well as agricultural commodities origination and trading. She was previously the head of Research and Development at Caisse des Depots. She has published more than 40 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written a book entitled Insurance and Weather Derivatives'. Professor Geman's research includes asset price modelling using jump-diffusions and Levy processes, commodity forward curve modelling and exotic option pricing for which she won the first prize of the Merrill Lynch Awards.