Commodities: fundamental theory of futures, forwards, and derivatives pricing
Gespeichert in:
| Weitere beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Boca Raton ; London ; New York
CRC Press
2023
|
| Ausgabe: | second edition |
| 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=034023320&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | xxvii, 833 Seiten Diagramme |
| ISBN: | 9781032208176 9781032208244 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents About the Editors.................................................................................................. ix List of Contributors............................................................................................... xi Introduction........................................................................................................xiii SECTION 1 Oil Products 1 The Volatility Risk Premium in the Oil Market............................................ 3 Ilia Bouchouev and Brett Johnson 2 Determinants of Oil Futures Prices and Convenience Yields...................... 27 M. A. H. Dempster, Elena Medova and Ke Tang 3 Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model.....................................................................49 Kenichiro Shiraya and Akihiko Takahashi 4 Planning Logistics Operations in the Oil Industry...................................... 73 M. A. H. Dempster, N. Hicks Pedron, E. A. Medova, J. E. Scott and A. Sembos 5 Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging.......................................................................... 101 Andrés Garcia Mirantes, Javier Población and Gregorio Serna 6 Long-Term Spread Option Valuation and Hedging.................................... 125 M.A.H. Dempster, Elena Medova and Ke Tang SECTION 2 Other Commodities 7 A Rough Multi-Factor Model of Electricity Spot Prices.............................. 149 Mikkel Bennedsen 8 Investing in the Wine Market: A Country-Level Threshold Cointegration
Approach....................................................................... 179 Lucia Baldi, Massimo Peri and Daniela Vandone v
Contents vi 9 10 Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?........................... 197 Liyan Han, Rong Liang and Ke Tang The Structure of Gold and Silver Spread Returns............................................. 217 Jonathan A. Batten, Cetin Ciner, Brian Μ. Lucey and Peter G. Szilagyi 11 Gold and the U.S. Dollar: Tales from the Turmoil.......................................... 229 Paolo Zagaglia and Massimiliano Marzo 12 Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China................................................245 Let Cui, Ke Huang, and H.J. Cai 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk......................................................................................... 265 Fred E. Benth, Troels S. Christensen and Victor Rohde SECTION 3 Commodity Prices and Financial Markets 14 Short-Horizon Return Predictability and Oil Prices....................................... 301 Jaime Casassus and Freddy Higuera 15 Time-Frequency Analysis of Crude Oil and S P 500 Futures Contracts........337 Joseph McCarthy and Alexei G. Orlov 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model............................................................. 359 Elyas Elyasiani, Iqbal Mansur and Babatunde Odusami 17 Long-Short Versus Long-Only Commodity Funds......................................... 389 John Μ. Mulvey 18 The Dynamics of Commodity
Prices............................................................... .. Chris Brooks and Marcel Prokopczuk 19 Short-Term and Long-Term Dependencies of the S P 500 Index and Commodity Prices............................................................ Michael Graham, Jarno Kiviaho and Jussi Nikkinen ^22 20 Commodity Markets through the Business Cycle................................. 439 Julien Chevallier, Mathieu Gatumel and Florian leipo 21 A Hybrid Commodity and Interest Rate Market Model Kay F. Pilz and Erik Schlögl ...... л 22 Evaluation of Gas Sales Agreements with Indexation Using Tree and W^^ ։thOdS ° СГаРҺ‘“ Ρ~« U “ ......... «7
Contents SECTION 4 vii Electricity Markets 23 Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison...................................................................................... 537 Sandro Sapio 24 Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets................................................................................ 559 Eivind Helland, Timur Aka and Eric Winnington 25 Modelling Spikes and Pricing Swing Options in Electricity Markets......... 573 Ben Hambly, Sam Howison and Tino Kluge 26 Efficient Pricing of Swing Options in Levy-Driven Models........................ 595 Oleg Kudryavtsev and Antonino Zanette T7 The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels............................................................................................... 611 René Carmona, Michael Coulon and Daniel Schwarz 28 Is the EUA a New Asset Class?....................................................................635 Vicente Medina and Angel Pardo SECTION 5 Contemporary Topics 29 Volatility Is Rough...................................................................................... 659 Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum 30 Algorithmic Trading in a Microstructural Limit Order Book Model......... 691 Frédéric Abergel, Còme Húré and Huyên Pham 31 Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money?............................................................ 731 Viktor Manahov 32 Identifying the Influential Factors of Commodity
Futures Prices through a New Text Mining Approach................................................ 763 Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao 33 Classification of Flash Crashes Using the Hawkes (p,q) Framework......... 785 Alexander Wehrli and Didier Sornette Epilogue.............................................................................................................. 835
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Not Illustrated |
| indexdate | 2024-12-20T19:51:08Z |
| institution | BVB |
| isbn | 9781032208176 9781032208244 |
| language | English |
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| physical | xxvii, 833 Seiten Diagramme |
| publishDate | 2023 |
| publishDateSearch | 2023 |
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| publisher | CRC Press |
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| series2 | Chapman & Hall/CRC financial mathematics series |
| spellingShingle | Commodities fundamental theory of futures, forwards, and derivatives pricing Commodity futures Commodity exchanges Bewertung (DE-588)4006340-9 gnd Rohstoff (DE-588)4050419-0 gnd Termingeschäft (DE-588)4117190-1 gnd Agrarprodukt (DE-588)4068470-2 gnd |
| subject_GND | (DE-588)4006340-9 (DE-588)4050419-0 (DE-588)4117190-1 (DE-588)4068470-2 (DE-588)4143413-4 |
| title | Commodities fundamental theory of futures, forwards, and derivatives pricing |
| title_auth | Commodities fundamental theory of futures, forwards, and derivatives pricing |
| title_exact_search | Commodities fundamental theory of futures, forwards, and derivatives pricing |
| title_full | Commodities fundamental theory of futures, forwards, and derivatives pricing edited by M.A.H. Dempster, Ke Tang |
| title_fullStr | Commodities fundamental theory of futures, forwards, and derivatives pricing edited by M.A.H. Dempster, Ke Tang |
| title_full_unstemmed | Commodities fundamental theory of futures, forwards, and derivatives pricing edited by M.A.H. Dempster, Ke Tang |
| title_short | Commodities |
| title_sort | commodities fundamental theory of futures forwards and derivatives pricing |
| title_sub | fundamental theory of futures, forwards, and derivatives pricing |
| topic | Commodity futures Commodity exchanges Bewertung (DE-588)4006340-9 gnd Rohstoff (DE-588)4050419-0 gnd Termingeschäft (DE-588)4117190-1 gnd Agrarprodukt (DE-588)4068470-2 gnd |
| topic_facet | Commodity futures Commodity exchanges Bewertung Rohstoff Termingeschäft Agrarprodukt Aufsatzsammlung |
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