Commodities

Auteur

M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, he has taught and researched in leading universities on both sides of the Atlantic and is founding editor-in-chief of Quantitative Finance and the Oxford Handbooks in Finance. Consultant to many global financial institutions, corporations and governments, he is regularly involved in research presentation and executive education worldwide. He is the author of over 110 research articles in leading international journals and 14 books; his work has won several awards and he is an honorary fellow of the UK Institute of Actuaries, a foreign member of the Academia Lincei (Italian Academy) and managing director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.

Ke Tang is a professor in the Institute of Economics, School of Social Science, Tsinghua University, where he teaches courses in economics and finance. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the University of California, Berkley in 2004, and his doctoral degree in Finance from Cambridge University in 2008. His research has covered such topics as commodity markets, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.

Texte du rabat

This book covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets.

Contenu

Section I. Oil Products

Chapter 1. The Volatility Risk Premium in the Oil Market*I. Bouchouev and Brett Johnson*

Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model*Kenichiro Shiraya and Akihiko Takahashi
*Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos

Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andrés Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang

Section II. Other Commodities

Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen

Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration Approach*Lucia Baldi, Massimo Peri and Daniela Vandone*

Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang

Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi

Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo

Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China*Lei Cui, Ke Huang and H.J. Cai*

Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde

Section III. Commodity Prices and Markets

Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov

Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model**Elyas Elyasiani, Iqbal Mansur and Babatunde. Odusami

Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey

Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices*Michael Graham, Jarno Kiviaho and Jussi Nikkinen*

Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo

Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchlögI

Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least-­Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang

Section IV. Electricity Markets

Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison*Sandro Sapio*

Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington

Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge

Chapter 26. Efficient Pricing of Swing Options in Levy-Driven Models*Oleg Kudryavtsev and Antonino Zanette*

Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels*René Carmona, Michael Coulon and Daniel Schwartz*

Chapter 28. Is EUA a New Asset Class?*Vicente Medina and Angel Pardo*

Section V. Contemporary Topics

Chapter 29. Volatility Is Rough*Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum*

Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frédéric Abérgél, Côme Huré and Huyên Pham

Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov

Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao

Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) Framework*Alexander Wehrli and Didier Sornette*