Financial modelling in commodity markets

by Fanelli, Viviana

Type Book

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Title Statements

Full title :Financial modelling in commodity markets / Viviana Fanelli.

Summary

Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks. Key features: Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners Illustrates some important pricing models using real data sets that will be commonly used in financial markets

Edition Statements

Publication Date:2020.

Publication Statements

Publisher(s):CRC Press
Place of Publication:Boca Raton, FL
Language:eng
Publication Date:2020.

The Physical Object

Description:1 online resource

Edition Identifiers

ISBN:9781351730945, 1351730940, 9781315184371, 1315184370, 9781351730952, 1351730959, 9781351730938, 1351730932
DOI:10.1201/9781315184371
oclc:on1136871042
LC Classification:HG106
Dewey Decimal:332.01/5195

Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Introduction -- 1. Commodity-linked Products -- 1.1 Forward Contracts and Exchange Traded Futures -- 1.1.1 Forward Price -- 1.1.2 Futures Price -- 1.1.3 Spot-forward Relationship -- 1.1.3.1 Spot/Futures Arbitrage and the Basis -- 1.2 Options -- 1.2.1 European Options -- 1.2.2 American Options -- 1.2.3 Option Strategies -- 1.2.4 Exotic Options -- 1.3 Swaps -- 1.3.1 Plain Vanilla Swap -- 1.3.2 Other Swap Types -- 1.4 Commodity Spreads -- 1.5 Exercises -- 1.6 Answers

2. Spot Price Modelling -- 2.1 One-factor Models -- 2.1.1 Geometric Brownian Motion -- 2.1.2 Mean-reverting Process -- 2.2 Two-factor and Three-factor Models -- 2.3 Jump-diffusion Models -- 2.4 Seasonality Modelling -- 2.5 Stochastic Volatility Model -- 2.6 Regime-switching Models -- 2.7 Exercises -- 2.8 Answers -- 3. Forward Price Modelling -- 3.1 Forward/Futures Valuation -- 3.2 Forward Price Models -- 3.3 Modelling the Seasonality -- 3.4 Exercises -- 3.5 Answers -- 4. Derivative Valuation -- 4.1 Introduction to Valuation Models -- 4.2 Closed Form Solution Models

4.2.1 The Black and Scholes Model -- 4.2.2 The Bl…