Commodity option pricing: a practitioners guide

Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for quantitative analysts, traders or structurers 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. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. The book has been d.

Commodity Option Pricing; Contents; Acknowledgements; Web page for this book; Notation; List of Figures; List of Tables; 1 Introduction; 1.1 Trade, Commerce and Commodities; 1.2 Adapting to Commodities as an Asset Class; 1.2.1 Classification of Commodities into Sub-categories; 1.3 Challenges in Commodity Models; 1.3.1 Futures; 1.3.2 Correlation; 1.3.3 Seasonality; 1.3.4 American and Asian Features; 2 Commodity Mathematics and Products; 2.1 Spot, Forwards and Futures; 2.1.1 Spot; 2.1.2 Forwards; 2.1.3 Futures; 2.2 The Black-Scholes and Black-76 Models; 2.2.1 The Black-Scholes Model.

2.2.2 The Black-Scholes Model Without Convenience Yield2.2.3 The Black-Scholes Model With Convenience Yield; 2.2.4 The Black-76 Model; 2.2.5 Risk-Neutral Valuation; 2.2.6 Forwards; 2.2.7 The Black-Scholes Term Structure Model; 2.3 Forward and Futures Contracts; 2.3.1 Forwards; 2.3.2 Futures; 2.3.3 Case Study; 2.4 Commodity Swaps; 2.5 European Options; 2.5.1 European Options on Spot; 2.5.2 European Options on Futures; 2.5.3 Settlement Adjustments; 2.6 American Options; 2.6.1 Barone-Adesi and Whaley (1987); 2.6.2 Lattice Methods; 2.7 Asian Options.

2.7.1 Geometric Asian Options -- Continuous Averaging2.…