Commodity Price Dynamics: a Structural Approach
This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.
Read More ↓Title Statements
- Full title :Commodity Price Dynamics : a Structural Approach.
Summary
This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.
Read More ↓Edition Statements
- Publication Date:2011.
Publication Statements
- Publisher(s):Cambridge University Press
- Place of Publication:Cambridge
- Language:eng
- Publication Date:2011.
Notes
8.5 Commonly Traded Power Options.
The Physical Object
- Description:1 online resource (240 pages)
Edition Identifiers
- ISBN:9781139187534, 1139187538, 1283378043, 9781283378048, 9781139018142, 1139018140, 9780521195898, 0521195896, 9781107616332, 1107616336
- oclc:ocn782876930
- LC Classification:HB221 .P47 2012
- Dewey Decimal:332.6328
Table of Contents
Cover; COMMODITY PRICE DYNAMICS; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Introduction; 1.2 A Commodity Taxonomy; 1.3 Commodity Markets and Data; 1.4 An Overview of the Remainder of the Book; 1.4.1 Modeling Storable Commodity Prices; 1.4.2 A Two-Factor Model of a Continuously Produced Commodity; 1.4.3 The Empirical Performance of the Two-Factor Model; 1.4.4 Commodity Pricing with Stochastic Fundamental Volatility; 1.4.5 The Pricing of Seasonally Produced Commodities; 1.4.6 The Pricing of Pollution Credits; 1.4.7 Non-Storable Commodities Pricing: The Case of Electricity.
1.5 Where This Book Fits in the Literature2 The Basics of Storable Commodity Modeling; 2.1 Introduction; 2.2 Dynamic Programming and the Storage Problem: An Overview; 2.2.1 Model Overview; 2.2.2 Competitive Equilibrium; 2.2.3 The Next Step: Determining the Forward Price; 2.2.4 Specifying Functional Forms and Shock Dynamics; 2.3 A More Detailed Look at the Numerical Implementation; 2.3.1 Solving a PDE Using Finite Differences:The One-Dimensional Case; 2.3.2 Solving the 2D PDE; 2.3.3 Boundary Conditions; 2.4 Summary.
3 High-Frequency Price Dynamics for Continuously Produced Commodities in a Two-Fact…
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