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EULA
by Andrea Roncoroni, Gianluca Fusai, Mark Cummins
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
Preface
Acknowledgements
About the Editors
List of Contributors
Part One: Commodity Markets and Products
Chapter 1: Oil Markets and Products
1.1 Introduction
1.2 Risk Management for Corporations: Hedging Using Derivative Instruments
1.3 Oil Physical Market Hedging and Trading
Further Reading
Notes
Chapter 2: Coal Markets and Products
2.1 Introduction
2.2 Source of Coal – Synopsis of the Resource Coal
2.3 Use of Coal – Power Generation and More
2.4 Overview of Worldwide Steam Coal Supply and Demand
2.5 The Global Steam Coal Trade Market and its Future
2.6 Concluding Words
Abbreviations and Definitions
Acknowledgements
References
Chapter 3: Natural Gas Markets and Products
3.1 Physical Natural Gas Markets
3.2 Natural Gas Contracting and Pricing
3.3 Financial Natural Gas Markets
References
Notes
Chapter 4: Electricity Markets and Products
4.1 Market Structure and Price Components
4.2 Renewables, Intra-Day Trading and Capacity Markets
4.3 Risk Measures for Power Portfolios
References
Further Reading
Notes
Chapter 5: Emissions Markets and Products
5.1 Introduction
5.2 Climate change and the economics of externalities
5.3 The Kyoto Protocol
5.4 The EU ETS
5.5 Regional Markets: A Fragmented Landscape
5.6 A New Asset Class: CO2 Emission Permits
Abbreviations
References
Notes
Chapter 6: Weather Risk and Weather Derivatives
6.1 Introduction
6.2 Identification of Volumetric Risk
6.3 Atmospheric Temperature and Natural Gas Market
6.4 Modification of Weather Risk Exposure with Weather Derivatives
6.5 Conclusions
Nomenclature
References
Notes
Chapter 7: Industrial Metals Markets and Products
7.1 General Overview
7.2 Forward Curves
7.3 Volatility
Acknowledgements
References
Further Reading
Notes
Chapter 8: Freight Markets and Products
8.1 Introduction
8.2 Business Risks in Shipping
8.3 Freight Rate Derivatives
8.4 Pricing, Hedging and Freight Rate Risk Measurement
8.5 Other Derivatives for the Shipping Industry
8.6 Conclusion
Acknowledgements
References
Notes
Chapter 9: Agricultural and Soft Markets
9.1 Introduction: Stakes and Objectives
9.2 Agricultural Commodity Specificity and Futures Markets
9.3 Demand and Supply, Price Determinants and Dynamics
9.4 Hedging and Basis Management
9.5 The Financialization of Agricultural Markets and Hunger: Speculation and Regulation
9.6 Conclusion about Hedging and Futures Contracts
References
Further Reading
Glossary, Quotations and Policy on Websites
Chapter 10: Foreign Exchange Markets and Products
10.1 The FX Market
10.2 Pricing Models for FX Options
10.3 The Volatility Surface
10.4 Barrier Options
10.5 Sources of FX Risk Exposure
10.6 Hedging FX Exposures Embedded in Energy and Commodity Contracts
10.7 Typical Hedging Structures for FX Risk Exposure
References
Notes
Part Two: Quantitative Topics
Chapter 11: An Introduction to Stochastic Calculus with Matlab® Examples
11.1 Brownian Motion
11.2 The Stochastic Integral and Stochastic Differential Equations
11.3 Introducing Itô's Formula
11.4 Important SDEs
11.5 Stochastic Processes with Jumps
References
Further Reading
Note
Chapter 12: Estimating Commodity Term Structure Volatilities
12.1 Introduction
12.2 Model Estimation Using the Kalman Filter
12.3 Principal Components Analysis
12.4 Conclusion
Appendix
References
Note
Chapter 13: Nonparametric Estimation of Energy and Commodity Price Processes
13.1 Introduction
13.2 Estimation Method
13.3 Empirical Results
References
Chapter 14: How to Build Electricity Forward Curves
14.1 Introduction
14.2 Review of the Literature
14.3 Electricity Forward Contracts
14.4 Smoothing Forward Price Curves
14.5 An Illustrative Example: Daily Forward Curve
14.6 Conclusion
References
Notes
Chapter 15: GARCH Models for Commodity Markets
15.1 Introduction
15.2 The GARCH Model: General Definition
15.3 The IGARCH(p,q) Model
15.4 A Permanent and Transitory Component Model of Volatility
15.5 Asymmetric Models
15.6 Periodic GARCH
15.7 Nesting Models
15.8 Long-Memory GARCH Models
15.9 Estimation
15.10 Inference
15.11 Multivariate GARCH
15.12 Empirical Applications
15.13 Software
References
Notes
Chapter 16: Pricing Commodity Swaps with Counterparty Credit Risk: The Case of Credit Value Adjustment
16.1 Introduction
16.2 Company Energy Policy
16.3 A Focus on Commodity Swap Contracts
16.4 Modelling the Dynamics of Oil Spot Prices and the Forward Curve
16.5 An Empirical Application
16.6 Measuring Counterparty Risk
16.7 Sensitivity Analysis
16.8 Accounting for Derivatives and Credit Value Adjustments
16.9 Conclusions
References
Further Reading
Notes
Chapter 17: Pricing Energy Spread Options
17.1 Spread options in energy markets
17.2 Pricing of spread options with zero strike
17.3 Issues of hedging
17.4 Pricing of spread options with nonzero strike
Acknowledgement
References
Notes
Chapter 18: Asian Options: Payoffs and Pricing Models
18.1 Payoff Structures
18.2 Pricing Asian Options in the Lognormal Setting
18.3 A Comparison
18.4 The Flexible Square-Root Model
18.5 Conclusions
References
Notes
Chapter 19: Natural Gas Storage Modelling
19.1 Introduction
19.2 A Simple Model of Storage, Futures Prices, Spot Prices And Convenience Yield
19.3 Valuation of Gas Storage
References
Notes
Chapter 20: Commodity-Linked Arbitrage Strategies and Portfolio Management
20.1 Commodity-Linked Arbitrage Strategies
20.2 Portfolio Optimization with Commodities
Symbols
References
Notes
Chapter 21: Econometric Analysis of Energy and Commodity Markets: Multiple Hypothesis Testing Techniques
21.1 Introduction
21.2 Multiple Hypothesis Testing
21.3 Energy–Emissions Market Interactions
21.4 Emissions Market Interactions
21.5 Quantitative Spread Trading in Oil Markets
References
Notes
Appendix: A Quick Review of Distributions Relevant in Finance with Matlab® Examples
A.1 The Normal Distribution
A.2 The Lognormal Distribution
A.3 The Chi-Square Distribution
A.4 The Non-Central Chi-Square Distribution
A.5 The Poisson Distribution
A.6 The Exponential Distribution
A.7 The Gamma Distribution
A.8 The Multivariate Normal Distribution
A.9 Simulating Random Variables
Note
Index
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