Modeling and Pricing for Agriculturals, Metals and Energy
E-Book, Englisch, 416 Seiten, E-Book
Reihe: Wiley Finance Series
ISBN: 978-0-470-01527-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
This book covers hard and soft commodities (energy, agricultureand metals) and analyses:
* Economic and geopolitical issues in commodities markets
* Commodity price and volume risk
* Stochastic modelling of commodity spot prices and forwardcurves
* Real options valuation and hedging of physical assets in theenergy industry
It is required reading for energy companies and utilitiespractitioners, commodity cash and derivatives traders in investmentbanks, the Agrifood business, Commodity Trading Advisors (CTAs) andHedge Funds.
In Commodities and Commodity Derivatives,Hélyette Geman shows her powerful command of the subject bycombining a rigorous development of its mathematical modelling witha compact institutional presentation of the arcane characteristicsof commodities that makes the complex analysis of commoditiesderivative securities accessible to both the academic andpractitioner who wants a deep foundation and a breadth of differentmarket applications. It is destined to be a "must have" on thesubject."
--Robert Merton, Professor, Harvard Business School
"A marvelously comprehensive book of interest to academics andpractitioners alike, by one of the world's foremost experts in thefield."
--Oldrich Vasicek, founder, KMV
Autoren/Hrsg.
Weitere Infos & Material
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 ForwardPrices.
3. Stochastic Modeling of Commodity Price Processes.
4. Plain-Vanilla Option Pricing and Hedging: From Stocks toCommodities.
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 theEnergy Industry.
13. Coal, Emissions and Weather.
14. Commodities as a New Asset Class.
Appendix: Glossary.
References.
Index.