Commodity Derivatives: A Guide for Future Practitioners [Pehme köide]

(University of Illinois, USA)
  • Formaat: Paperback / softback, 262 pages, kõrgus x laius: 235x159 mm, kaal: 386 g, Style copy: Metacognition in the Primary Classroom, 9781138842359; 74 Line drawings, black and white; 2 Halftones, black and white; 115 Tables, black and white; 76 Illustrations, black and white
  • Ilmumisaeg: 12-Apr-2018
  • Kirjastus: Routledge
  • ISBN-10: 0765645378
  • ISBN-13: 9780765645371
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  • Formaat: Paperback / softback, 262 pages, kõrgus x laius: 235x159 mm, kaal: 386 g, Style copy: Metacognition in the Primary Classroom, 9781138842359; 74 Line drawings, black and white; 2 Halftones, black and white; 115 Tables, black and white; 76 Illustrations, black and white
  • Ilmumisaeg: 12-Apr-2018
  • Kirjastus: Routledge
  • ISBN-10: 0765645378
  • ISBN-13: 9780765645371
Teised raamatud teemal:

Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. Commodities are often used as inputs in the production of other products, and commodity prices are notoriously volatile. Derivatives include forwards, futures, options, and swaps; all are types of contracts that allow buyers and sellers to establish the price at one time and exchange the commodity at another.

These contracts can be used to establish a price now for a purchase or sale that will occur later, or establish a price later for a purchase or sale now. This book provides detailed examples for using derivatives to manage prices by hedging, using futures, options, and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time. Finally, because the relationship between a commodity price and a derivative price is not constant, this book examines the impact of basis behaviour on hedging results, and shows how the basis can be bought and sold like a commodity.

The material in this book is based on the author’s 30-year career in commodity derivatives, and is essential reading for students planning careers as commodity merchandisers, traders, and related industry positions. Not only does it provide them with the necessary theoretical background, it also covers the practical applications that employers expect new hires to understand. Examples are coordinated across chapters using consistent prices and formats, and industry terminology is used so students can become familiar with standard terms and concepts. This book is organized into 18 chapters, corresponding to approximately one chapter per week for courses on the semester system.

List of Figures
x
List of Tables
xiii
Preface xvii
1 Introduction
1(6)
What is a Commodity?
1(2)
What is a Derivative?
3(4)
2 Trading Futures and Options
7(13)
Pit Trading
7(8)
Electronic Trading
15(5)
3 Understanding and Interpreting Futures Prices
20(17)
How Futures Prices Are Quoted
20(4)
Measures of Trading Activity
24(4)
Interpreting Price Differences: Time, Space, and Form
28(9)
4 Margins, Clearing, Delivery, and Final Settlement
37(9)
Margins in Futures Trading
37(4)
Margin Account Example
41(2)
Final Settlement via Delivery
43(2)
Final Settlement via Cash Settlement
45(1)
5 Market Regulation
46(21)
Futures as Contracts
46(1)
Contract Specifications
47(6)
Regulation by Exchanges
53(1)
Regulation by the Federal Government
54(3)
Self-Regulation by the Industry
57(1)
Applications in Other Sectors and Countries
58(1)
Appendix 5.1
59(8)
6 Hedging with Futures
67(15)
The Role of Correlation
67(1)
Hedging Against a Price Increase
68(4)
Hedging Against a Price Decrease
72(5)
More on the Role of Correlation: An Example from the Corn Market
77(3)
Price Changes vs. Prices Levels: The Importance of Returns
80(2)
7 Hedging and the Basis
82(15)
Hedging and Basis Changes
82(2)
Long Hedging and Basis Behavior
84(6)
Short Hedging and Basis Behavior
90(7)
8 Hedging Enhancements
97(14)
Types of Hedges
97(2)
Rolling a Hedge
99(6)
Cross-Hedging
105(6)
9 Profit Margin Hedging and Inverse Hedging
111(14)
Profit Margin Hedging
111(8)
Inverse Hedging
119(6)
10 Hedging and Basis Trading
125(10)
Redefining the Basis and the Cash Price
125(4)
Commercial Hedging
129(6)
11 Basis Trading and Rolling a Hedge
135(12)
Rolling a Hedge to Capture a Favorable Basis
135(8)
Spread Impact on Hedging Results
143(4)
12 Speculating with Futures
147(12)
Speculation vs. Investment
147(1)
Speculative Styles
148(4)
Commitments of Traders
152(5)
Speculative Participation in Commodity Futures
157(2)
13 Introduction to Options on Futures
159(11)
How Options Work
159(1)
Options on Futures
160(9)
Options on Actuals
169(1)
14 Option Pricing
170(14)
The Black Model
170(5)
Put-Call Parity
175(1)
Option Sensitivity and the Greeks
176(7)
Summary
183(1)
15 Profit Tables and Profit Diagrams
184(22)
Futures and Cash Positions: Linear Profits
184(5)
Options Positions: Nonlinear Profits
189(16)
Discussion
205(1)
16 Hedging with Options
206(24)
Option-Based Hedging Strategies
206(11)
Delta-Neutral Hedging
217(5)
Synthetic Futures and Options
222(8)
17 Speculating with Options
230(21)
Intrinsic Value Strategies
230(1)
Time Value Strategies
231(1)
Volatility Strategies
231(5)
Spread Strategies
236(15)
18 Commodity Swaps
251(6)
Swaps and Forwards
251(1)
Swap Features and Applications
251(4)
The Market for Commodity Swaps
255(2)
Index 257
Paul E. Peterson is a Clinical Professor of Finance at the University of Illinois at Urbana-Champaign. His primary focus is futures and options markets, particularly in relation to commodity prices and risk management. Other interests include marketing practices and pricing issues.

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