Commodities and commodity derivatives : modelling and pricing for agriculturals, metals, and energy

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Bibliographic Details
Main Author Geman, Hélyette (Author)
Format Book
LanguageEnglish
Published Chichester : John Wiley & Sons, c2005
Subjects
zboží
komoditní burzy
obchodování s cennými papíry
commercial products
commodity exchanges
securities trading
komoditní derivativy
příručky
handbooks, manuals, etc
Online AccessObsah
ISBN0470012188 978-0-470-01218-5
Physical Descriptionxvii, 396 s. : il. ; 26 cm

Cover

Table of Contents:
  • Fundamentals of commodity spot and futures markets
  • Equilibrium relationships between spot prices and forward prices
  • Stochastic modelling of commodity price processes
  • Plain-vanilla option pricing and hedging
  • Risk-neutral valuation of plain-vanilla options
  • Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options
  • Agricultural commodity markets
  • The structure of metal markets and metal prices
  • The oil market as a world market
  • The gas market as the energy market of the next decades
  • Spot and forward electricity markets
  • Commodity swaptions, swing, and take-or-pay contracts and real options
  • In the energy industry
  • Coal, emissions, and weather
  • Commodities as a new asset class

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