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Commodities and commodity derivatives : modelling and pricing for agriculturals, metals and energy / Helyette Geman.

By: Publication details: West Sussex : John Wiley, c2005.Description: xvii, 396 p. : ill. ; 25 cmISBN:
  • 0470012188 (cloth)
Subject(s): DDC classification:
  • 332.6328 GEM
Contents:
Fundamentals of commodity spot and futures markets -- Equilibrium relationships between spot prices and forward prices -- Stochastic modelling of commodity price processes -- Plain-vanilla option pricing and hedging -- Risk-neutral valuation of plain-vanilla options -- Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options -- Agricultural commodity markets -- The structure of metal markets and metal prices -- The oil market as a world market -- The gas market as the energy market of the next decades -- Spot and forward electricity markets -- Commodity swaptions, swing, and take-or-pay contracts and real options -- In the energy industry -- Coal, emissions, and weather -- Commodities as a new asset class.
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Main Collection Taylor's Library-TU

Floor 3, Shelf 6 , Side 1, TierNo 2, BayNo 4

 332.6328 GEM (Browse shelf(Opens below)) 1 Available GENLS,GENLS,03,GR 5000013973

Includes bibliographical references and index.

Fundamentals of commodity spot and futures markets -- Equilibrium relationships between spot prices and forward prices -- Stochastic modelling of commodity price processes -- Plain-vanilla option pricing and hedging -- Risk-neutral valuation of plain-vanilla options -- Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options -- Agricultural commodity markets -- The structure of metal markets and metal prices -- The oil market as a world market -- The gas market as the energy market of the next decades -- Spot and forward electricity markets -- Commodity swaptions, swing, and take-or-pay contracts and real options -- In the energy industry -- Coal, emissions, and weather -- Commodities as a new asset class.