Commodities and commodity derivatives : modelling and pricing for agriculturals, metals, and energy /
Helyette Geman
- West Sussex : John Wiley & Sons, 2005
- xvii, 396 p. : ill. ; 25 cm.
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