Commodity price dynamics: a structural approach
"Commodities have become and important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commoditites and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers wh…
Read More ↓Title Statements
- Full title :Commodity price dynamics : a structural approach / Craig Pirrong.
Summary
"Commodities have become and important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commoditites and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling--and extreme--movements in the prices of commoditites from aluminum to oil to soybeans to zinc"--Provided by publisher.
Read More ↓Edition Statements
- Publication Date:2012.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:New York
- Language:eng
- Publication Date:2012.
The Physical Object
- Description:1 online resource (xiii, 224 pages) : : illustrations
Edition Identifiers
- ISBN:1139185225, 9781139185226
- oclc:ocn771288307
- LC Classification:HB221
- Dewey Decimal:332.63/28
Table of Contents
Preface; 1. Introduction; 2. The basics of storable comodity modeling; 3. High-frequency Price dynamics for continuously produced commodities in aTwo-Factor storage economy: Implications for derivative pricing; 4. The Empirical performance of the two-factor model; 5. Stochastic Fundamental volatility; 6. The pricing of Seasonal commodities; 7. The dynamics of Carbon markets; 8. The structural modeling of Non-storables: Electricity.
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