Commodities:
Gespeichert in:
| Weitere beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Boca Raton ; London ; New York
CRC Press
[2016]
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785715&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | xxxiii, 703 Seiten Illustrationen |
| ISBN: | 9781498712323 9780367445799 |
Internformat
MARC
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| 245 | 1 | 0 | |a Commodities |c edited by M.A.H. Dempster (University of Cambridge and Cambridge Systems Associates Limited, UK), Ke Tang (Tsinghua University, Beijing, China) |
| 264 | 1 | |a Boca Raton ; London ; New York |b CRC Press |c [2016] | |
| 264 | 4 | |c © 2016 | |
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| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 500 | |a Includes bibliographical references and index | ||
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| 650 | 4 | |a Commodity exchanges | |
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Datensatz im Suchindex
| _version_ | 1819336900703420416 |
|---|---|
| adam_text | Contents
Editors.....................................................................xi
Contributors..............................................................xiii
Introduction..............................................................xvii
SECTION I Oil Products
1 Inconvenience Yield, or the Theory of Normal Contango...................3
Ilia Bouchouev
2 Determinants of Oil Futures Prices and Convenience Yields............9
M. A. H. Dempster, Elena Medová, and Ke Tang
3 Pricing and Hedging of Long-Term Futures and Forward Contracts
with a Three-Factor Model..............................................31
Kenichiro Shiraya and Akihiko Takahashi
4 An Empirical Study of the Impact of Skewness and Kurtosis on
Hedging Decisions......................................................53
Jing-Yi Lai
5 Long-Term Spread Option Valuation and Hedging........................71
M.A.H. Dempster, Elena Medová, and Ke Tang
6 Analysing the Dynamics of the Refining Margin: Implications for
Valuation and Hedging..................................................95
Andrés García Mirantes, Javier Población, and Gregorio Serna
7 Quantitative Spread Trading on Crude Oil and Refined Products Markets.119
Mark Cummins and Andrea Bucea
SECTION II Other Commodities
8 Inversion of Option Prices for Implied Risk-Neutral Probability
Density Functions: General Theory and Its Applications to the Natural
Gas Market............................................................151
Yijun Du, Chen Wang, and YibingDu
vii
Vlii Contents
9 Investing in the Wine Market: A Country-Level Threshold
Cointegration Approach..............................................173
Lucia Bald։, Massimo Peri, and Daniela Vandone
10 Cross-Market Soybean Futures Price Discovery: Does the Dalian
Commodity Exchange Affect the Chicago Board of Trade?.............191
Liyan Han, Rong Liang, and Ke Tang
11 The Structure of Gold and Silver Spread Returns....................213
Jonathan A. Batten, Cetin Ciner, Brian M. Lucey, and Peter G. Szilagyi
12 Gold and the U.S. Dollar: Tales from the Turmoil...................227
Paolo Zagaglia and Massimiliano Marzo
13 A Flexible Model of Term-Structure Dynamics of Commodity Prices:
A Comparative Analysis with a Two-Factor Gaussian Model............. 243
Hiroaki Suenaga
14 Application of a TGARCH-Wavelet Neural Network to Arbitrage
Trading in the Metal Futures Market in China.......................279
Lei Cui, Ke Huang, and HJ. Cat
SECTION III Commodity Prices and Financial Markets
15 Short-H orizon Return Predictability and Oil Prices.............301
Jaime Casassus and Freddy Higuera
16 Time-Frequency Analysis of Crude Oil and S P 500 Futures Contracts ....337
Joseph McCarthy and Alexei G. Orlov
17 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-
Threshold FIGARCH Model.................................................359
Elyas Elyasiani, Iqbal Mansur, and Babatunde Odusamx
18 Short-Term and Long-Term Dependencies of the S8cP 500 Index and
Commodity Prices........................................................387
Michael Graham, Jarno Kiviaho, and Jussi Nikkinen
19 Portfolio Selection with Commodities Under Conditional Copulas
and Skew Preferences....................................................403
Carlos Gonzdlez-Pedraz, Manuel Moreno, and Juan Ignacio Pena
20 Strategic Commodity Allocation..........................................433
Pierre Six
21 Long֊Short Versus Long-Only Commodity Funds.............................459
John M. Mu Ivey
22 Commodity Markets through the Business Cycle.........................469
Julien Chevallier, Mathieu Gatumel, and Florian Ielpo
Contents ix
23 The Dynamics of Commodity Prices.........................................501
Chris Brooks and Marcel Prokopczuk
24 A Hybrid Commodity and Interest Rate Market Model........................523
Kay F. Pilz and Erik Schlogl
SECTION IV Electricity Markets
25 Modelling the Distribution of Day֊ Ahead Electricity Returns: A Comparison.551
Alessandro Sapio
26 Stochastic Spot Price Multi-Period Model and Option Valuation for
Electrical Markets........................................................571
Eivind Helland, Timur Aka, and Eric Winnington
27 Modelling Spikes and Pricing Swing Options in Electricity Markets........585
Ben Hambly, Sam Howison, and Tino Kluge
28 Efficient Pricing of Swing Options in Lévy-Driven Models.................607
Oleg Kudryavtsev and Antonino Zanette
29 Hedging Strategies for Energy Derivatives................................623
Peter Leoni, Nele Vandaele, and Michèle Vanmaele
30 The Valuation of Clean Spread Options: Linking Electricity, Emissions
and Fuels.................................................................645
René Carmona, Michael Coulon, and Daniel Schwarz
31 Is the EUA a New Asset Class?............................................667
Vicente Medina and Angel Pardo
Index..........................................................................689
|
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Aufsatzsammlung |
| id | DE-604.BV043366660 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T17:34:36Z |
| institution | BVB |
| isbn | 9781498712323 9780367445799 |
| language | English |
| lccn | 015018964 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028785715 |
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| physical | xxxiii, 703 Seiten Illustrationen |
| publishDate | 2016 |
| publishDateSearch | 2016 |
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| publisher | CRC Press |
| record_format | marc |
| series2 | Chapman & Hall/CRC financial mathematics series |
| spellingShingle | Commodities Commodity futures Commodity exchanges Rohstoff (DE-588)4050419-0 gnd Agrarprodukt (DE-588)4068470-2 gnd Bewertung (DE-588)4006340-9 gnd Termingeschäft (DE-588)4117190-1 gnd |
| subject_GND | (DE-588)4050419-0 (DE-588)4068470-2 (DE-588)4006340-9 (DE-588)4117190-1 (DE-588)4143413-4 |
| title | Commodities |
| title_auth | Commodities |
| title_exact_search | Commodities |
| title_full | Commodities edited by M.A.H. Dempster (University of Cambridge and Cambridge Systems Associates Limited, UK), Ke Tang (Tsinghua University, Beijing, China) |
| title_fullStr | Commodities edited by M.A.H. Dempster (University of Cambridge and Cambridge Systems Associates Limited, UK), Ke Tang (Tsinghua University, Beijing, China) |
| title_full_unstemmed | Commodities edited by M.A.H. Dempster (University of Cambridge and Cambridge Systems Associates Limited, UK), Ke Tang (Tsinghua University, Beijing, China) |
| title_short | Commodities |
| title_sort | commodities |
| topic | Commodity futures Commodity exchanges Rohstoff (DE-588)4050419-0 gnd Agrarprodukt (DE-588)4068470-2 gnd Bewertung (DE-588)4006340-9 gnd Termingeschäft (DE-588)4117190-1 gnd |
| topic_facet | Commodity futures Commodity exchanges Rohstoff Agrarprodukt Bewertung Termingeschäft Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785715&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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