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Commodity Option Pricing

Commodity Option Pricing A Practitioner's Guide Hardback | Pub: 21/03/2014

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Synopsis

Commodity Option Pricing: A Practitioner?s Guide
covers commodity option pricing for quantitative analysts, traders
or structurers in banks, hedge funds and commodity trading
companies.


Based on the author?s industry experience with commodity
derivatives, this book provides a thorough and mathematical
introduction to the various market conventions and models used in
commodity option pricing. It introduces the various derivative
products typically traded for commodities and describes how these
models can be calibrated and used for pricing and risk management.
The book has been developed with input from traders and examples
using real world data, together with relevant up to date academic
research.


The book includes practical descriptions of market conventions
and quote codes used in commodity markets alongside typical
products seen in broker quotes and used in calibration. Also
discussed are commodity models and their mathematical derivation
and volatility surface modelling for traded commodity derivatives.
Gold, silver and other precious metals are addressed, including
gold forward and gold lease rates, as well as copper, aluminium and
other base metals, crude oil and natural gas, refined energy and
electricity. There are also sections on the products encountered in
commodities such as crack spread and spark spread options and
alternative commodities such as carbon emissions, weather
derivatives, bandwidth and telecommunications trading, plastics and
freight.


Commodity Option Pricing is ideal for anyone working in
commodities or aiming to make the transition into the area, as well
as academics needing to familiarize themselves with the industry
conventions of the commodity markets.

Product details

ISBN:
9781119944515
9781119944515
Category:
Commodities
Format:
Hardback
Publication Date:
21-03-2014
Language:
English
Publisher:
John Wiley & Sons Inc
Country of origin:
United States
Pages:
342
Dimensions:
233x154x24mm
Weight:
0.64kg

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Commodities Finance