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

Author: Hélyette Geman
Publisher: West Sussex : John Wiley & Sons, ©2005.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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 derivative trading.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Geman, Hélyette.
Commodities and commodity derivatives.
West Sussex : John Wiley & Sons, ©2005
(DLC) 2004027082
(OCoLC)57010029
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Hélyette Geman
ISBN: 0470015276 9780470015278 9780470687734 0470687738 9780470687741 0470687746
OCLC Number: 61730984
Description: 1 online resource (xvii, 396 pages) : illustrations
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.
Responsibility: Helyette Geman.

Abstract:

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 derivative trading.

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