Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy
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.
In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.”
—Robert Merton, Professor, Harvard Business School
"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
—Oldrich Vasicek, founder, KMV
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.