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Bibliographic Details
Other Authors:	Dempster, Michael A. H. 1938- (Editor), Tang, Ke (Editor)
Format:	Book
Language:	English
Published:	Boca Raton ; London ; New York CRC Press [2016]
Series:	Chapman & Hall/CRC financial mathematics series
Subjects:	Commodity futures Commodity exchanges Rohstoff Agrarprodukt Bewertung Termingeschäft Aufsatzsammlung
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
Item Description:	Includes bibliographical references and index
Physical Description:	xxxiii, 703 Seiten Illustrationen
ISBN:	9781498712323 9780367445799

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MARC


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Record in the Search Index

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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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isbn	9781498712323 9780367445799
language	English
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physical	xxxiii, 703 Seiten Illustrationen
publishDate	2016
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publisher	CRC Press
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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
work_keys_str_mv	AT dempstermichaelah commodities AT tangke commodities

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