Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve.
Bringing together some of the best authors in the field, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also looks at the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. It looks at the implications for climate policy and climate research and analyzes the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world.
It is required reading for energy and mining companies, utilities&; practitioners, commodity and cash derivatives traders in investment banks, CTA&;s and hedge funds
Arvustused
"...the wide range of issues covered in different ways should mean there is something for everyone." (Supply Management, February 5th 2009)
Preface. About the Editor. About the Contributors.
1. Structural
Models of Commodity Prices (Craig Pirrong). 1.1 Introduction. 1.2 A
Commodity Taxonomy. 1.3 Fundamental Models for Storable Commodities. 1.4
Non-Storable Commodities. 1.5 Summary. 1.6 References.
2. Forward Curve
Modelling in Commodity Markets (Svetlana Borovkova, Universiteit Amsterdam,
and Helyette Geman). 2.1 Introduction. 2.2 Forward Curve Models for
Non-Seasonal Commodities. 2.3 The Seasonal Forward Curve Model and its
Extensions. 2.4 Principal Component Analysis of a Forward Curve. 2.5
Forward Curve Indicators. 2.6 Conclusions. 2.7 References.
3. Integrating
Physical and Financial Risk Management in Supply Management (Paul R.
Kleindorfer). 3.1 Introduction. 3.2 A Primer On Previous Supply Management
Contracting Literature. 3.3 A Moddeling Framework and a Simple Illustrative
Case. 3.4 Recent Contributions to the Optimal Contracting Literature. 3.5
Some Open Research Questions and Implications for Practice. 3.6 References.
4. The Design of New Derivative Markets (Giovanni Barone-Adesi). 4.1
Introduction. 4.2 Determinants of Success of New Derivative Markets. 4.3
Price Discovery. 4.4 Trading, Clearing and Margining. 4.5 Market Integrity.
4.6 Market Recovery. 4.7 Market Oversight. 4.8 Case Studies. 4.9
Conclusion. 4.10 References. 5 Risk Premia of Electricity Futures: A
Dynamic Equilibrium Model (Wolfgang Buhler, University of Mannheim, and Jens
Muller-Merbach). 5.1 Introduction. 5.2 The Dynamic Equilibrium Model. 5.3
Comparative Statics. 5.4 Empirical Study. 5.5 Conclusion. 5.6 References.
6. Measuring Correlation Risk for Energy Derivatives (Roza Galeeva, Jiri
Hoogland and Alexander Eydeland). 6.1 Introduction. 6.2 Correlation. 6.3
Perturbing the Correlation Matrix. 6.4 Correlation VaR. 6.5 Some Examples.
6.6 Discussion and Conclusions. 6.7 References.
7. Precaution and a Dismal
Theorem: Implications for Climate Policy and Climate Research (Gary W. Yohe,
Wesleyan University and Richard S. J. Tol). 7.1 Introduction. 7.2 A New
Source of Concern: Weitzman s Dismal Theorem. 7.3 Implications of the
"Dismal Theorem". 7.4 Some Concluding Remarks. 7.5 References.
8.
Incentives for Investing in Renewables (Falbo Paolo, Felletti Daniele and
Stefani Silvana). 8.1 Introduction and Background. 8.2 Subsidies for
Energy. 8.3 The Model. 8.4 Statistical Estimations. 8.5 Risk Analysis.
8.6 Conclusions. 8.7 References.
9. Hedging the Risk of an Energy Futures
Portfolio (Carol Alexander). 9.1 Mapping Portfolios to Constant Maturity
Futures. 9.2 The Portfolio and its Key Risk Factors. 9.3 Identifying the
Key Risk Factors. 9.4 Hedging the Portfolio Risk. 9.5 Conclusions. 9.6
References.
10. Spark Spread Options when Commodity Prices are Represented
as Time Changed Processes (Elisa Luciano). 10.1 Spark Spread Options. 10.2
Time Change in a Nutshell. 10.3 Time Change and Commodity Prices. 10.4 An
Application to PJM Electricity and NYMEX Natural Gas. 10.5 Conclusions and
Further Research. 10.6 Appendix A: Modelling Specification in the
Multivariate Case. 10.7 Appendix B: Alternative Modelling Specifications in
the Univariate Case. 10.8 References.
11. Freight Derivatives and Risk
Management: A Review (Manolis G. Kavussanos and Ilias D. Visvikis). 11.1
Introduction. 11.2 Forward Freight Agreements. 11.3 Freight Futures. 11.4
"Hybrid" (Cleared) FFAs. 11.5 Freight Options. 11.6 Empirical Research on
Freight Derivatives. 11.7 Conclusion. 11.8 References.
12. Mean-Reversion
and Structural Breaks in Crude Oil, Copper, and Shipping (H. Geman and S.
Ohana). 12.1 Introduction. 12.2 Fundamentals of Copper, Crude Oil, and
Shipping. 12.3 Defining Mean-Reversion. 12.4 Dataset and Unit Root Tests.
12.5 Conclusion. 12.6 References.
13. Managing Agricultural Price Risk in
Developing Countries (Julie Dana and Christopher L. Gilbert). 13.1 The
Liberalization Context. 13.2 Incidence of Risk Exposure. 13.3 Instruments
and Problems. 13.4 Price Risk Management in the Developing Country Supply
Chain. 13.5 Concluding Comments. 13.6 References.
14. Gaining Exposure to
Emerging Markets in Institutional Portfolios: The Role of Commodities (George
A. Martin and Richard Spurgin). 14.1 Introduction. 14.2 Asset Markets and
Economic Growth. 14.3 Are Emerging Markets Equity Markets and Commodity
Markets Integrated? 14.4 Implications for the Investment Policy of
Institutional Investors. 14.5 Conclusion. 14.6 References.
15. Case
Studies and Risk Management in Commodity Derivatives Trading (Hilary Till).
15.1 Introduction. 15.2 Institutional Risk Management. 15.3
Proprietary-Trading Risk Management. 15.4 Hedge Fund Risk Management. 15.5
Fund-of-Hedge-Funds Diversification. 15.6 Market Risk Management. 15.7
Conclusion. 15.8 References. Index.
HELYETTE GEMAN is a Professor of Finance at Birkbeck, University of London and ESSEC Graduate Business School. She is a graduate of l Ecole Normale Superieure in Mathematics, holds a Masters degree in Theoretical Physics and a PhD in Mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to major financial institutions and energy and mining companies for the last 18 years, covering the spectrum of interest rates, catastrophic risk, oil, natural gas, electricity and metals. She was previously the head of Research and Development at Caisse des Depots. Professor Geman was the first president of the Bachelier Finance Society and has published more than 95 papers in top international finance Journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance. She is a Member of Honour of the French Society of Actuaries. Professor Geman's research includes interest rates and catastrophic insurance, asset price and commodity forward curve modelling, hedge funds and alternative investments, as well as exotic option pricing for which she won the first prize of the Merrill Lynch Awards in 1994. Her work on catastrophic options and CAT bonds and book Insurance and Weather Derivatives (1998) received the AFIR (actuarial approach to financial risk) prize. Prof Geman was named in 2004 in the Hall of Fame of Energy Risk and received in July 2008 the ISA medal for Sciences of the Alma Mater University of Bologna for the CGMY model, a pure jump Levy process widely used in finance since 2002. Her reference book Commodities and Commodity Derivatives was published by Wiley Finance in January 2005. Professor Geman is a Member of the Board of the UBS-Bloomberger Commodity Index.
