Commodities and commodity derivatives
Subtitle: modelling and pricing for agriculturals, metals, and energy
By: Helyette Geman.
Publisher: John Wiley & Sons
Published: 2005
Place of publication: West Sussex [England]
Language: eng
Number of pages: 396
Subjects: Commodity futures.
Notes: Includes bibliographical references (p. [375]-379) and index.
Table of contents: title: Fundamentals of commodity spot and futures markets; title: Equilibrium relationships between spot prices and forward prices; title: Stochastic modelling of commodity price processes; title: Plain-vanilla option pricing and hedging; title: Risk-neutral valuation of plain-vanilla options; title: Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options; title: Agricultural commodity markets; title: The structure of metal markets and metal prices; title: The oil market as a world market; title: The gas market as the energy market of the next decades; title: Spot and forward electricity markets; title: Commodity swaptions, swing, and take-or-pay contracts and real options; title: In the energy industry; title: Coal, emissions, and weather; title: Commodities as a new asset class.