Roncoroni / Fusai / Cummins Handbook of Multi-Commodity Markets and Products

Structuring, Trading and Risk Management
1. Auflage 2015
ISBN: 978-0-470-66183-3
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 1064 Seiten, E-Book

Reihe: Wiley Finance Series

The comprehensive guide to working more effectively within themulti-commodity market.
The Handbook of Multi-Commodity Markets and Products isthe definitive desktop reference for traders, structurers, and riskmanagers who wish to broaden their knowledge base. Thisnon-technical yet sophisticated manual covers everything theprofessional needs to become acquainted with the structure,function, rules, and practices across a wide spectrum of commoditymarkets. Contributions from a global team of renowned industryexperts provide real-world examples for each market, along withtools for analyzing, pricing, and risk managing deals. Thediscussion focuses on convergence, including arbitrage valuation,econometric modeling, market structure analysis, contractengineering, and risk, while simulated scenarios help readersunderstand the practical application of the methods and modelspresented.
Gradual deregulation and the resulting increase in diversity andactivity have driven the evolution of the traditionally segmentedmarket toward integration, raising important questions aboutopportunity identification and analysis in multi-commodity deals.This book helps professionals navigate the shift, providingin-depth information and practical advice.
* Structure and manage both simple and sophisticatedmulti-commodity deals
* Exploit pay-off profiles and trading strategies with adiversified set of commodity prices
* Develop more accurate forecasting models by consideringadditional metrics
* Price energy products and other commodities in segmentedmarkets with an eye toward specific structural features
As one of the only markets strong enough to boom during thecredit crunch, the commodities markets are growing rapidly.Combined with increasing convergence, this transition presentspotentially valuable opportunities for the development of a robustmulti-commodity portfolio. For the professional seeking deeperunderstanding and a more effective strategy, the Handbook ofMulti-Commodity Markets and Products offers completeinformation and expert guidance.

Autoren/Hrsg.

Roncoroni, Andrea

Fusai, Gianluca

Cummins, Mark

Über Autor(innen)

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.