{"product_id":"commodity-option-pricing-9781119944515","title":"Commodity Option Pricing","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eCovers commodity option pricing for quantitative analysts, traders or structures in banks, hedge funds and commodity trading companies. Based on the author's industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eAcknowledgements xv\u003c\/p\u003e \u003cp\u003eNotation xvii\u003c\/p\u003e \u003cp\u003eList of Figures xix\u003c\/p\u003e \u003cp\u003eList of Tables xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Trade, Commerce and Commodities 3\u003c\/p\u003e \u003cp\u003e1.2 Adapting to Commodities as an Asset Class 8\u003c\/p\u003e \u003cp\u003e1.2.1 Classification of Commodities into Sub-categories 9\u003c\/p\u003e \u003cp\u003e1.3 Challenges in Commodity Models 12\u003c\/p\u003e \u003cp\u003e1.3.1 Futures 12\u003c\/p\u003e \u003cp\u003e1.3.2 Correlation 12\u003c\/p\u003e \u003cp\u003e1.3.3 Seasonality 15\u003c\/p\u003e \u003cp\u003e1.3.4 American and Asian Features 15\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Commodity Mathematics and Products 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Spot, Forwards and Futures 17\u003c\/p\u003e \u003cp\u003e2.1.1 Spot 18\u003c\/p\u003e \u003cp\u003e2.1.2 Forwards 19\u003c\/p\u003e \u003cp\u003e2.1.3 Futures 20\u003c\/p\u003e \u003cp\u003e2.2 The Black–Scholes and Black-76 Models 24\u003c\/p\u003e \u003cp\u003e2.2.1 The Black–Scholes Model 24\u003c\/p\u003e \u003cp\u003e2.2.2 The Black–Scholes Model Without Convenience Yield 25\u003c\/p\u003e \u003cp\u003e2.2.3 The Black–Scholes Model With Convenience Yield 26\u003c\/p\u003e \u003cp\u003e2.2.4 The Black-76 Model 28\u003c\/p\u003e \u003cp\u003e2.2.5 Risk-Neutral Valuation 35\u003c\/p\u003e \u003cp\u003e2.2.6 Forwards 36\u003c\/p\u003e \u003cp\u003e2.2.7 The Black–Scholes Term Structure Model 38\u003c\/p\u003e \u003cp\u003e2.3 Forward and Futures Contracts 39\u003c\/p\u003e \u003cp\u003e2.3.1 Forwards 39\u003c\/p\u003e \u003cp\u003e2.3.2 Futures 39\u003c\/p\u003e \u003cp\u003e2.3.3 Case Study 40\u003c\/p\u003e \u003cp\u003e2.4 Commodity Swaps 42\u003c\/p\u003e \u003cp\u003e2.5 European Options 44\u003c\/p\u003e \u003cp\u003e2.5.1 European Options on Spot 45\u003c\/p\u003e \u003cp\u003e2.5.2 European Options on Futures 49\u003c\/p\u003e \u003cp\u003e2.5.3 Settlement Adjustments 49\u003c\/p\u003e \u003cp\u003e2.6 American Options 50\u003c\/p\u003e \u003cp\u003e2.6.1 Barone-Adesi and Whaley (1987) 50\u003c\/p\u003e \u003cp\u003e2.6.2 Lattice Methods 53\u003c\/p\u003e \u003cp\u003e2.7 Asian Options 54\u003c\/p\u003e \u003cp\u003e2.7.1 Geometric Asian Options – Continuous Averaging 54\u003c\/p\u003e \u003cp\u003e2.7.2 Arithmetic Asian Options – Continuous Averaging 61\u003c\/p\u003e \u003cp\u003e2.7.3 Geometric Average Options – Discrete Fixings – Kemna and Vorst (1990) 62\u003c\/p\u003e \u003cp\u003e2.7.4 Arithmetic Average Options – Discrete Fixings – Turnbull and Wakeman (1991) 66\u003c\/p\u003e \u003cp\u003e2.8 Commodity Swaptions 70\u003c\/p\u003e \u003cp\u003e2.9 Spread Options 73\u003c\/p\u003e \u003cp\u003e2.9.1 Margrabe Exchange Options 74\u003c\/p\u003e \u003cp\u003e2.9.2 The Kirk Approximation 75\u003c\/p\u003e \u003cp\u003e2.9.3 Calendar Spread Options 77\u003c\/p\u003e \u003cp\u003e2.9.4 Asian Spread Options 78\u003c\/p\u003e \u003cp\u003e2.10 More Advanced Models 78\u003c\/p\u003e \u003cp\u003e2.10.1 Mean Reverting Models 79\u003c\/p\u003e \u003cp\u003e2.10.2 Multi-Factor Models 88\u003c\/p\u003e \u003cp\u003e2.10.3 Convenience Yield Models 94\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Precious Metals 99\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Gold Forward and Gold Lease Rates 101\u003c\/p\u003e \u003cp\u003e3.2 Volatility Surfaces for Precious Metals 103\u003c\/p\u003e \u003cp\u003e3.2.1 Pips Spot Delta 104\u003c\/p\u003e \u003cp\u003e3.2.2 Pips Forward Delta 104\u003c\/p\u003e \u003cp\u003e3.2.3 Notation 105\u003c\/p\u003e \u003cp\u003e3.2.4 Market Volatility Surfaces 105\u003c\/p\u003e \u003cp\u003e3.2.5 At-the-Money 105\u003c\/p\u003e \u003cp\u003e3.2.6 Strangles and Risk Reversals 107\u003c\/p\u003e \u003cp\u003e3.2.7 Temporal Interpolation 111\u003c\/p\u003e \u003cp\u003e3.3 Survey of the Precious Metals 111\u003c\/p\u003e \u003cp\u003e3.3.1 Gold 112\u003c\/p\u003e \u003cp\u003e3.3.2 Silver 117\u003c\/p\u003e \u003cp\u003e3.3.3 Platinum 119\u003c\/p\u003e \u003cp\u003e3.3.4 Palladium 121\u003c\/p\u003e \u003cp\u003e3.3.5 Rhodium 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Base Metals 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Futures, Options and TAPO Contracts 130\u003c\/p\u003e \u003cp\u003e4.1.1 Futures 130\u003c\/p\u003e \u003cp\u003e4.1.2 Options 134\u003c\/p\u003e \u003cp\u003e4.1.3 Traded Average Price Options 137\u003c\/p\u003e \u003cp\u003e4.2 Commonly Traded Base Metals 139\u003c\/p\u003e \u003cp\u003e4.2.1 Copper 140\u003c\/p\u003e \u003cp\u003e4.2.2 Aluminium 142\u003c\/p\u003e \u003cp\u003e4.2.3 Zinc 143\u003c\/p\u003e \u003cp\u003e4.2.4 Nickel 145\u003c\/p\u003e \u003cp\u003e4.2.5 Lead 146\u003c\/p\u003e \u003cp\u003e4.2.6 Tin 148\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Energy I – Crude Oil, Natural Gas and Coal 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Crude Oil 154\u003c\/p\u003e \u003cp\u003e5.1.1 WTI 158\u003c\/p\u003e \u003cp\u003e5.1.2 Brent 163\u003c\/p\u003e \u003cp\u003e5.1.3 Calibration of WTI Volatility Term Structure 171\u003c\/p\u003e \u003cp\u003e5.1.4 Calibration of WTI Volatility Skew 174\u003c\/p\u003e \u003cp\u003e5.1.5 Brent and Other Crude Markets 177\u003c\/p\u003e \u003cp\u003e5.1.6 A Note on Correlation 180\u003c\/p\u003e \u003cp\u003e5.2 Natural Gas 180\u003c\/p\u003e \u003cp\u003e5.2.1 Deseasonalising Forward Curves 186\u003c\/p\u003e \u003cp\u003e5.3 Coal 188\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Energy II – Refined Products 195\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 The Refinery Basket 195\u003c\/p\u003e \u003cp\u003e6.2 Gasoline 197\u003c\/p\u003e \u003cp\u003e6.3 Heating Oil\/Gas Oil 200\u003c\/p\u003e \u003cp\u003e6.4 Petroleum Gases and Residual Fuel Oil 203\u003c\/p\u003e \u003cp\u003e6.5 Seasonality and Volatility 205\u003c\/p\u003e \u003cp\u003e6.6 Crack Spread Options 207\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Power 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Electricity Generation 214\u003c\/p\u003e \u003cp\u003e7.2 Nonstorability and Decorrelation 217\u003c\/p\u003e \u003cp\u003e7.2.1 Spot Markets 218\u003c\/p\u003e \u003cp\u003e7.2.2 Futures and Forward Markets 219\u003c\/p\u003e \u003cp\u003e7.2.3 Options Markets 220\u003c\/p\u003e \u003cp\u003e7.3 Modelling Spikes in Electricity Markets 220\u003c\/p\u003e \u003cp\u003e7.3.1 Reduced Form Models 223\u003c\/p\u003e \u003cp\u003e7.3.2 Structural Models 227\u003c\/p\u003e \u003cp\u003e7.4 Swing Options 231\u003c\/p\u003e \u003cp\u003e7.5 Spark Spread Options 232\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Agricultural Derivatives 233\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Grains 234\u003c\/p\u003e \u003cp\u003e8.1.1 Wheat 236\u003c\/p\u003e \u003cp\u003e8.1.2 Corn 239\u003c\/p\u003e \u003cp\u003e8.1.3 Rice 240\u003c\/p\u003e \u003cp\u003e8.1.4 Oats 241\u003c\/p\u003e \u003cp\u003e8.1.5 Barley 241\u003c\/p\u003e \u003cp\u003e8.2 Oilseeds 242\u003c\/p\u003e \u003cp\u003e8.2.1 Soybeans 242\u003c\/p\u003e \u003cp\u003e8.2.2 Canola 244\u003c\/p\u003e \u003cp\u003e8.3 Softs 244\u003c\/p\u003e \u003cp\u003e8.3.1 Coffee 245\u003c\/p\u003e \u003cp\u003e8.3.2 Cotton 247\u003c\/p\u003e \u003cp\u003e8.3.3 Cocoa 248\u003c\/p\u003e \u003cp\u003e8.3.4 Sugar 249\u003c\/p\u003e \u003cp\u003e8.3.5 Orange Juice 250\u003c\/p\u003e \u003cp\u003e8.3.6 Lumber 252\u003c\/p\u003e \u003cp\u003e8.4 Pulp and Paper 252\u003c\/p\u003e \u003cp\u003e8.5 Livestock 253\u003c\/p\u003e \u003cp\u003e8.5.1 Feeder Cattle 253\u003c\/p\u003e \u003cp\u003e8.5.2 Live Cattle 254\u003c\/p\u003e \u003cp\u003e8.5.3 Lean Hogs 255\u003c\/p\u003e \u003cp\u003e8.5.4 Pork Bellies 255\u003c\/p\u003e \u003cp\u003e8.5.5 Milk and Dairy 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Alternative Commodities 257\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Carbon Emissions Trading 257\u003c\/p\u003e \u003cp\u003e9.2 Weather Derivatives 261\u003c\/p\u003e \u003cp\u003e9.2.1 Temperature Derivatives 261\u003c\/p\u003e \u003cp\u003e9.2.2 Windspeed Derivatives 263\u003c\/p\u003e \u003cp\u003e9.2.3 Precipitation Derivatives 263\u003c\/p\u003e \u003cp\u003e9.3 Bandwidth and Telecommunication Trading 264\u003c\/p\u003e \u003cp\u003e9.4 Plastics 265\u003c\/p\u003e \u003cp\u003e9.5 Freight Derivatives 266\u003c\/p\u003e \u003cp\u003e9.5.1 Shipping 266\u003c\/p\u003e \u003cp\u003e9.5.2 Pricing and the Baltic Freight Market 268\u003c\/p\u003e \u003cp\u003e9.5.3 Forward Freight Agreements and Options 269\u003c\/p\u003e \u003cp\u003eConversion Factors 273\u003c\/p\u003e \u003cp\u003eFutures Contract Symbols 275\u003c\/p\u003e \u003cp\u003eGlossary 279\u003c\/p\u003e \u003cp\u003eReferences 295\u003c\/p\u003e \u003cp\u003eFurther Reading 303\u003c\/p\u003e \u003cp\u003eIndex 307\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48866425766231,"sku":"9781119944515","price":59.85,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119944515.jpg?v=1722278586","url":"https:\/\/bookcurl.com\/products\/commodity-option-pricing-9781119944515","provider":"Book Curl","version":"1.0","type":"link"}