Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy
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 for investors that
includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and
Hardcover 416 pp ISBN 9780470012185
This book covers hard and soft commodities (energy, agriculture and metals) and analyses:
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.
- 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
Foreword by Nassim Nicholas Taleb.
- 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.
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