Commodities and commodity derivatives

Modeling and pricing for agriculturals, metals and energy

Hélyette Geman - Collection Wiley Finance

396 pages, parution le 01/03/2005

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Indisponible

Résumé

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 class for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading.

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.

L'auteur - Hélyette Geman

Helyette Geman is a Professor of Finance at the University Paris Dauphine and ESSEC Graduate Business School. She is a graduate of the Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, covering the spectrum of oil, natural gas and electricity as well as agricultural commodities origination and trading. She was previously the head of Research and Development at Caisse des Depots. She has published more than 40 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written a book entitled Insurance and Weather Derivatives. Professor Geman's research includes asset price modelling using jump-diffusions and Levy processes, commodity forward curve modelling and exotic option pricing for which she won the first prize of the Merrill Lynch Awards.

Sommaire

Foreword by Nassim Taleb
Preface
Introduction
Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies
Equilibrium Relationships between Spot Prices and Forward Prices
Stochastic Modelling of Commodity Price Processes
Plain-Vanilla Option Pricing and Hedging: From Stocks to Commodities
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
Glossary
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Hélyette Geman
Collection	Wiley Finance
Parution	01/03/2005
Nb. de pages	396
Format	17 x 25
Couverture	Relié
Poids	935g
Intérieur	Noir et Blanc
EAN13	9780470012185
ISBN13	978-0-470-01218-5