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.
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.
In Commodities and Commodity Derivatives,
Hélyette Geman shows her powerful command of the subject by
combining a rigorous development of its mathematical modelling with
a compact institutional presentation of the arcane characteristics
of commodities that makes the complex analysis of commodities
derivative securities accessible to both the academic and
practitioner who wants a deep foundation and a breadth of different
market applications. It is destined to be a ‘must have’ on the
subject.’
–Robert Merton, Professor, Harvard Business School
‘A marvelously comprehensive book of interest to academics and
practitioners alike, by one of the world’s foremost experts in the
field.’
–Oldrich Vasicek, founder, KMV
विषयसूची
Foreword by Nassim Nicholas Taleb.
Preface.
Acknowledgements.
1. Fundamentals of Commodity Spot and Futures Markets:Instruments, Exchanges and Strategies.
2. Equilibrium Relationships between Spot Prices and Forward Prices.
3. Stochastic Modeling of Commodity Price Processes.
4. Plain-Vanilla Option Pricing and Hedging: From Stocks to Commodities.
5. Risk-neutral Valuation of Plain-Vanilla Options.
6. Monte-Carlo Simulations and Analytical formulae for Asian, Barrier and Quanto Options.
7. Agricultural Commodity Markets.
8. The Structure of Metal Markets and Metal Prices.
9. The Oil Market as a World Market.
10. The Gas Market as the Energy Market of the Next Decades.
11. Spot and Forward Electricity Markets.
12. Commodity Swaptions, Swing Contracts and Real Options in the Energy Industry.
13. Coal, Emissions and Weather.
14. Commodities as a New Asset Class.
Appendix: Glossary.
References.
Index.
लेखक के बारे में
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 Ph D in mathematics from the University Pierre et Marie Curie and a Ph D 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.
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