Commodities and commodity derivatives : modelling and pricing for agriculturals, metals, and energy / Helyette Geman.
Material type:
TextPublisher: West Sussex : John Wiley & Sons, c2005Description: xvii, 396 p. : ill. ; 25 cmISBN: 0470012188 (cloth : alk. paper)Subject(s): Commodity futuresDDC classification: 332.6328 LOC classification: HG6046 | .G46 2005Online resources: Table of contents only | Contributor biographical information | Publisher description | Item type | Current location | Home library | Collection | Call number | Status | Date due | Barcode | Item holds |
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US-Pakistan Center for Advanced Studies in Energy (USPCAS-E) | US-Pakistan Center for Advanced Studies in Energy (USPCAS-E) | NFIC | 332.6328 GEM-C 2005 (Browse shelf) | Available | CAS-E0001092 |
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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.
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