Geman Risk Management in Commodity Markets

From Shipping to Agriculturals and Energy
1. Auflage 2009
ISBN: 978-0-470-74081-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 320 Seiten, E-Book

Reihe: Wiley Finance Series

Commodities represent today the fastest growing markets worldwide.Historically misunderstood, generally under- studied and under-valued, certainly under- represented in the literature, commoditiesare suddenly receiving the attention they deserve.
Bringing together some of the best authors in the field, thisbook focuses on the risk management issues associated with bothsoft and hard commodities: energy, weather, agriculturals, metalsand shipping. Taking the reader through every part of thecommodities markets, the authors discuss the intricacies ofmodelling spot and forward prices, as well as the design of newFutures markets. The book also looks at the use of options andother derivative contract forms for hedging purposes, as well assupply management in commodity markets. It looks at theimplications for climate policy and climate research and analyzesthe various freight derivatives markets and products used to manageshipping and freight risk in a global commodity world.
It is required reading for energy and mining companies,utilities' practitioners, commodity and cash derivativestraders in investment banks, CTA's and hedge funds

Autoren/Hrsg.

Geman, Helyette

Über Autor(innen)

HELYETTE GEMAN is a Professor of Finance at Birkbeck,University of London and ESSEC Graduate Business School. She is agraduate of l'École Normale Supérieure inMathematics, holds a Masters degree in Theoretical Physics and aPhD in Mathematics from the University Pierre et Marie Curie and aPhD in Finance from the University Panthéon Sorbonne.
Professor Geman has been a scientific advisor to major financialinstitutions and energy and mining companies for the last 18 years,covering the spectrum of interest rates, catastrophic risk, oil,natural gas, electricity and metals. She was previously the head ofResearch and Development at Caisse des Dépôts. ProfessorGeman was the first president of the Bachelier Finance Society andhas published more than 95 papers in top international financeJournals including the Journal of Finance, Journal of FinancialEconomics, Mathematical Finance. She is a Member of Honour of theFrench Society of Actuaries. Professor Geman's research includesinterest rates and catastrophic insurance, asset price andcommodity forward curve modelling, hedge funds and alternativeinvestments, as well as exotic option pricing for which she won thefirst prize of the Merrill Lynch Awards in 1994. Her work oncatastrophic options and CAT bonds and book Insurance and WeatherDerivatives (1998) received the AFIR (actuarial approach tofinancial risk) prize. Prof Geman was named in 2004 in theHall of Fame of Energy Risk and received in July 2008 the ISA medalfor Sciences of the Alma Mater University of Bologna for the CGMYmodel, a pure jump Levy process widely used in finance since2002.
Her reference book Commodities and Commodity Derivatives waspublished by Wiley Finance in January 2005. Professor Geman is aMember of the Board of the UBS-Bloomberger Commodity Index.