{"product_id":"commodities-and-commodity-derivatives-9780470012185","title":"Commodities and Commodity Derivatives","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThe 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"...expect to see this book become the bible of the field...\" (\u003ci\u003eShort Book Review\u003c\/i\u003e, June 2006)\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword by \u003ci\u003eNassim Nicholas Taleb\u003c\/i\u003e xi\u003c\/p\u003e \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eAcknowledgements xix\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 The importance of commodity spot trading 1\u003c\/p\u003e \u003cp\u003e1.2 Forward and Futures contracts 4\u003c\/p\u003e \u003cp\u003e1.3 The actors in Futures markets 6\u003c\/p\u003e \u003cp\u003e1.4 The structure of Futures markets 9\u003c\/p\u003e \u003cp\u003e1.5 Shipping and freight: Spot and forward markets 16\u003c\/p\u003e \u003cp\u003e1.6 Volume, liquidity and open interest in Futures markets 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Equilibrium Relationships between Spot Prices and Forward Prices 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Price discovery in Futures markets 23\u003c\/p\u003e \u003cp\u003e2.2 Theory of storage, inventory and convenience yield 24\u003c\/p\u003e \u003cp\u003e2.3 Scarcity, reserves and price volatility 28\u003c\/p\u003e \u003cp\u003e2.4 Futures prices and expectations of future spot prices 31\u003c\/p\u003e \u003cp\u003e2.5 Spot–forward relationship in commodity markets under no-arbitrage 35\u003c\/p\u003e \u003cp\u003e2.6 Price of a Futures contract and market value of a Futures position 39\u003c\/p\u003e \u003cp\u003e2.7 Relationship between forward and Futures prices 42\u003c\/p\u003e \u003cp\u003e2.8 The benefits of indexes in commodity markets 45\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Stochastic Modeling of Commodity Price Processes 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Randomness and commodity prices 49\u003c\/p\u003e \u003cp\u003e3.2 The distribution of commodity prices and their first four moments 52\u003c\/p\u003e \u003cp\u003e3.3 The geometric Brownian motion as a central model in finance 60\u003c\/p\u003e \u003cp\u003e3.4 Mean-reversion in financial modeling: From interest rates to commodities 64\u003c\/p\u003e \u003cp\u003e3.5 Introducing stochastic volatility and jumps in price trajectories 68\u003c\/p\u003e \u003cp\u003e3.6 State variable models for commodity prices 69\u003c\/p\u003e \u003cp\u003e3.7 Commodity forward curve dynamics 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Plain-vanilla Option Pricing and Hedging: From Stocks to Commodities 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 General definitions 75\u003c\/p\u003e \u003cp\u003e4.2 Classical strategies involving European calls and puts 78\u003c\/p\u003e \u003cp\u003e4.3 Put–call parity 81\u003c\/p\u003e \u003cp\u003e4.4 Valuation of European calls: The Black–Scholes formula and the Greeks 83\u003c\/p\u003e \u003cp\u003e4.5 Merton (1973) formula and its application to options on commodity spot prices 90\u003c\/p\u003e \u003cp\u003e4.6 Options on commodity spot prices 92\u003c\/p\u003e \u003cp\u003e4.7 Options on commodity Futures and the Black (1976) formula 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Risk-neutral Valuation of Plain-vanilla Options 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Second proof of the Black–Scholes–Merton formula 95\u003c\/p\u003e \u003cp\u003e5.2 Risk-neutral dynamics of commodity prices 98\u003c\/p\u003e \u003cp\u003e5.3 Commodity Futures dynamics under the pricing measure 99\u003c\/p\u003e \u003cp\u003e5.4 Implied volatility in equity options and leverage effect 101\u003c\/p\u003e \u003cp\u003e5.5 Implied volatility in energy option prices and inverse leverage effect 105\u003c\/p\u003e \u003cp\u003e5.6 Binomial trees and option pricing 109\u003c\/p\u003e \u003cp\u003e5.7 Introducing stochastic interest rates in the valuation of commodity options 117\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Monte Carlo Simulations and Analytical Formulae for Asian, Barrier and Quanto Options 123\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Monte Carlo methods for European options 123\u003c\/p\u003e \u003cp\u003e6.2 Asian (arithmetic average) options as key instruments in commodity markets 127\u003c\/p\u003e \u003cp\u003e6.3 Trading the shape of the forward curve through floating strike Asian options 135\u003c\/p\u003e \u003cp\u003e6.4 Barrier options 135\u003c\/p\u003e \u003cp\u003e6.5 Commodity quanto options 138\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Agricultural Commodity Markets 143\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 143\u003c\/p\u003e \u003cp\u003e7.2 The grain markets 144\u003c\/p\u003e \u003cp\u003e7.3 Soft commodities: Coffee, cotton and sugar 153\u003c\/p\u003e \u003cp\u003e7.4 Citrus and orange juice 158\u003c\/p\u003e \u003cp\u003e7.5 Livestock markets 160\u003c\/p\u003e \u003cp\u003e7.6 Technical analysis in agricultural commodity markets 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 The Structure of Metal Markets and Metal Prices 169\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 169\u003c\/p\u003e \u003cp\u003e8.2 About metals 169\u003c\/p\u003e \u003cp\u003e8.3 Overview of metal markets and their operation 171\u003c\/p\u003e \u003cp\u003e8.4 Characterizing general price movements 175\u003c\/p\u003e \u003cp\u003e8.5 Characterizing metal price movements 176\u003c\/p\u003e \u003cp\u003e8.6 Conclusion 200\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 The Oil Market as a World Market 201\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Why oil is traded and its relationship with worldwide energy prices 201\u003c\/p\u003e \u003cp\u003e9.2 Crude oil markets 203\u003c\/p\u003e \u003cp\u003e9.3 Refined products markets 217\u003c\/p\u003e \u003cp\u003e9.4 Conclusion 224\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 The Gas Market as the Energy Market of the Next Decades 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 The world gas outlook 227\u003c\/p\u003e \u003cp\u003e10.2 The gas-producing countries 231\u003c\/p\u003e \u003cp\u003e10.3 Gas spot markets 233\u003c\/p\u003e \u003cp\u003e10.4 Natural gas Futures and options 240\u003c\/p\u003e \u003cp\u003e10.5 The growing interest in LNG 246\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Spot and Forward Electricity Markets 251\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 251\u003c\/p\u003e \u003cp\u003e11.2 Structure of the electricity industry: From vertically integrated utilities to unbundling and restructured oligopolies 252\u003c\/p\u003e \u003cp\u003e11.3 Spot power markets and issues in market design 254\u003c\/p\u003e \u003cp\u003e11.4 The adjustment market and reserves capacity 266\u003c\/p\u003e \u003cp\u003e11.5 Electricity derivatives markets 269\u003c\/p\u003e \u003cp\u003e11.6 Modeling electricity spot prices: From mean-reversion and jump-diffusion to jump-reversion 276\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Commodity Swaptions, Swing Contracts and Real Options in the Energy Industry 283\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Commodity swap and swaptions 283\u003c\/p\u003e \u003cp\u003e12.2 Exchange options 286\u003c\/p\u003e \u003cp\u003e12.3 Commodity spread options 287\u003c\/p\u003e \u003cp\u003e12.4 Options involving optimal strategies: American, swing and take-or-pay contracts 294\u003c\/p\u003e \u003cp\u003e12.5 Discounted cash flows versus real options for the valuation of physical assets: The example of a fuel-fired plant 298\u003c\/p\u003e \u003cp\u003e12.6 Valuation of a gas storage facility 304\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Coal, Emissions and Weather 309\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 The coal market 309\u003c\/p\u003e \u003cp\u003e13.2 Emissions 320\u003c\/p\u003e \u003cp\u003e13.3 Weather and commodity markets 325\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Commodities as a New Asset Class 333\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction 333\u003c\/p\u003e \u003cp\u003e14.2 The different ways of investing in commodities 336\u003c\/p\u003e \u003cp\u003e14.3 Commodity indexes and commodity-related funds 339\u003c\/p\u003e \u003cp\u003e14.4 Conclusion 357\u003c\/p\u003e \u003cp\u003eAppendix: Glossary 359\u003c\/p\u003e \u003cp\u003eReferences 375\u003c\/p\u003e \u003cp\u003eIndex 381\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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