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E-raamat: Commodity Option Pricing - A Practitioner's Guide: A Practitioner's Guide [Wiley Online]

  • Formaat: 352 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 21-Mar-2014
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1118871782
  • ISBN-13: 9781118871782
Teised raamatud teemal:
  • Wiley Online
  • Hind: 108,90 €*
  • * hind, mis tagab piiramatu üheaegsete kasutajate arvuga ligipääsu piiramatuks ajaks
Commodity Option Pricing - A Practitioner's Guide: A Practitioner's GuideSuurem pilt
  • Formaat: 352 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 21-Mar-2014
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1118871782
  • ISBN-13: 9781118871782
Teised raamatud teemal:
Wiley Online e-raamatudRohkem infot Wiley Online kohta
Raamatu kodulehekülg: https://onlinelibrary.wiley.com/doi/book/10.1002/9781118871782
Commodity Option Pricing: A Practitioners Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies.

Based on the authors industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research.



This book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight.

Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.
Acknowledgements xv
Notation xvii
List of Figures
xix
List of Tables
xxiii
1 Introduction
1(16)
1.1 Trade, Commerce and Commodities
3(5)
1.2 Adapting to Commodities as an Asset Class
8(4)
1.2.1 Classification of Commodities into Sub-categories
9(3)
1.3 Challenges in Commodity Models
12(5)
1.3.1 Futures
12(1)
1.3.2 Correlation
12(3)
1.3.3 Seasonality
15(1)
1.3.4 American and Asian Features
15(2)
2 Commodity Mathematics and Products
17(82)
2.1 Spot, Forwards and Futures
17(7)
2.1.1 Spot
18(1)
2.1.2 Forwards
19(1)
2.1.3 Futures
20(4)
2.2 The Black--Scholes and Black-76 Models
24(15)
2.2.1 The Black--Scholes Model
24(1)
2.2.2 The Black--Scholes Model Without Convenience Yield
25(1)
2.2.3 The Black--Scholes Model With Convenience Yield
26(2)
2.2.4 The Black-76 Model
28(7)
2.2.5 Risk-Neutral Valuation
35(1)
2.2.6 Forwards
36(2)
2.2.7 The Black--Scholes Term Structure Model
38(1)
2.3 Forward and Futures Contracts
39(3)
2.3.1 Forwards
39(1)
2.3.2 Futures
39(1)
2.3.3 Case Study
40(2)
2.4 Commodity Swaps
42(2)
2.5 European Options
44(6)
2.5.1 European Options on Spot
45(4)
2.5.2 European Options on Futures
49(1)
2.5.3 Settlement Adjustments
49(1)
2.6 American Options
50(4)
2.6.1 Barone-Adesi and Whaley (1987)
50(3)
2.6.2 Lattice Methods
53(1)
2.7 Asian Options
54(16)
2.7.1 Geometric Asian Options -- Continuous Averaging
54(7)
2.7.2 Arithmetic Asian Options -- Continuous Averaging
61(1)
2.7.3 Geometric Average Options -- Discrete Fixings -- Kemna and Vorst (1990)
62(4)
2.7.4 Arithmetic Average Options -- Discrete Fixings -- Turnbull and Wakeman (1991)
66(4)
2.8 Commodity Swaptions
70(3)
2.9 Spread Options
73(5)
2.9.1 Margrabe Exchange Options
74(1)
2.9.2 The Kirk Approximation
75(2)
2.9.3 Calendar Spread Options
77(1)
2.9.4 Asian Spread Options
78(1)
2.10 More Advanced Models
78(21)
2.10.1 Mean Reverting Models
79(9)
2.10.2 Multi-Factor Models
88(6)
2.10.3 Convenience Yield Models
94(5)
3 Precious Metals
99(28)
3.1 Gold Forward and Gold Lease Rates
101(2)
3.2 Volatility Surfaces for Precious Metals
103(8)
3.2.1 Pips Spot Delta
104(1)
3.2.2 Pips Forward Delta
104(1)
3.2.3 Notation
105(1)
3.2.4 Market Volatility Surfaces
105(1)
3.2.5 At-the-Money
105(2)
3.2.6 Strangles and Risk Reversals
107(4)
3.2.7 Temporal Interpolation
111(1)
3.3 Survey of the Precious Metals
111(16)
3.3.1 Gold
112(5)
3.3.2 Silver
117(2)
3.3.3 Platinum
119(2)
3.3.4 Palladium
121(3)
3.3.5 Rhodium
124(3)
4 Base Metals
127(24)
4.1 Futures, Options and TAPO Contracts
130(9)
4.1.1 Futures
130(4)
4.1.2 Options
134(3)
4.1.3 Traded Average Price Options
137(2)
4.2 Commonly Traded Base Metals
139(12)
4.2.1 Copper
140(2)
4.2.2 Aluminium
142(1)
4.2.3 Zinc
143(2)
4.2.4 Nickel
145(1)
4.2.5 Lead
146(2)
4.2.6 Tin
148(3)
5 Energy I -- Crude Oil, Natural Gas and Coal
151(44)
5.1 Crude Oil
154(26)
5.1.1 WTI
158(5)
5.1.2 Brent
163(8)
5.1.3 Calibration of WTI Volatility Term Structure
171(3)
5.1.4 Calibration of WTI Volatility Skew
174(3)
5.1.5 Brent and Other Crude Markets
177(3)
5.1.6 A Note on Correlation
180(1)
5.2 Natural Gas
180(8)
5.2.1 Deseasonalising Forward Curves
186(2)
5.3 Coal
188(7)
6 Energy II -- Refined Products
195(18)
6.1 The Refinery Basket
195(2)
6.2 Gasoline
197(3)
6.3 Heating Oil/Gas Oil
200(3)
6.4 Petroleum Gases and Residual Fuel Oil
203(2)
6.5 Seasonality and Volatility
205(2)
6.6 Crack Spread Options
207(6)
7 Power
213(20)
7.1 Electricity Generation
214(3)
7.2 Nonstorability and Decorrelation
217(3)
7.2.1 Spot Markets
218(1)
7.2.2 Futures and Forward Markets
219(1)
7.2.3 Options Markets
220(1)
7.3 Modelling Spikes in Electricity Markets
220(11)
7.3.1 Reduced Form Models
223(4)
7.3.2 Structural Models
227(4)
7.4 Swing Options
231(1)
7.5 Spark Spread Options
232(1)
8 Agricultural Derivatives
233
8.1 Grains
234(8)
8.1.1 Wheat
236(3)
8.1.2 Corn
239(1)
8.1.3 Rice
240(1)
8.1.4 Oats
241(1)
8.1.5 Barley
241(1)
8.2 Oilseeds
242(2)
8.2.1 Soybeans
242(2)
8.2.2 Canola
244(1)
8.3 Softs
244
8.3.1 Coffee
245(2)
8.3.2 Cotton
247(1)
8.3.3 Cocoa
248(1)
8.3.4 Sugar
249
DR IAIN J. CLARK is former Head of Foreign Exchange and Commodities Quantitative Analysis at Standard Banks London office, and has also worked for JP Morgan, BNP Paribas, Lehman Brothers, Dresdner Kleinwort and UniCredit. He holds a PhD in applied mathematics and an MSc in financial mathematics. He is the author of Foreign Exchange Option Pricing: A Practitioners Guide and is currently an independent researcher and consultant.
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