Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and EnergyISBN: 978-0-470-01218-5
Hardcover
418 pages
March 2005
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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This book covers hard and soft commodities (energy, agriculture and metals) and analyses:
- Economic and geopolitical issues in commodities markets
- Commodity price and volume risk
- Stochastic modelling of commodity spot prices and forward curves
- Real options valuation and hedging of physical assets in the energy industry
It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.
In Commodities and Commodity Derivatives,
Hélyette Geman shows her powerful command of the subject by
combining a rigorous development of its mathematical modelling with
a compact institutional presentation of the arcane characteristics
of commodities that makes the complex analysis of commodities
derivative securities accessible to both the academic and
practitioner who wants a deep foundation and a breadth of different
market applications. It is destined to be a "must have" on the
subject.”
—Robert Merton, Professor, Harvard Business School
"A marvelously comprehensive book of interest to academics and
practitioners alike, by one of the world's foremost experts in the
field."
—Oldrich Vasicek, founder, KMV