Risk management in commodity markets : from shipping to agriculturals and energy / edited by Helyette Geman.

Format:

Book

Contributor:

Geman, Hélyette.

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Commodity exchanges.

Commodity futures.

Risk management.

Investment analysis.

Physical Description:

1 online resource (322 p.)

Edition:

1st edition

Place of Publication:

Chichester, West Sussex, England ; Hoboken, NJ : Wiley, c2008.

Language Note:

English

System Details:

text file

Summary:

Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best authors in the field, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping. Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as

Contents:

Risk Management in Commodity Markets; Contents; Preface; About the Editor; About the Contributors; 1 Structural Models of Commodity Prices; 1.1 Introduction; 1.2 A Commodity Taxonomy; 1.3 Fundamental Models for Storable Commodities; 1.4 Non-Storable Commodities; 1.5 Summary; 1.6 References; 2 Forward Curve Modelling in Commodity Markets; 2.1 Introduction; 2.2 Forward Curve Models for Non-Seasonal Commodities; 2.3 The Seasonal Forward Curve Model and its Extensions; 2.4 Principal Component Analysis of a Forward Curve; 2.5 Forward Curve Indicators; 2.6 Conclusions; 2.7 References

3 Integrating Physical and Financial Risk Management in Supply Management 3.1 Introduction; 3.2 A Primer On Previous Supply Management Contracting Literature; 3.3 A Modelling Framework and a Simple Illustrative Case; 3.4 Recent Contributions to the Optimal Contracting Literature; 3.5 Some Open Research Questions and Implications for Practice; 3.6 References; 4 The Design of New Derivative Markets; 4.1 Introduction; 4.2 Determinants of Success of New Derivative Markets; 4.3 Price Discovery; 4.4 Trading, Clearing, and Margining; 4.5 Market Integrity; 4.6 Market Recovery; 4.7 Market Oversight

4.8 Case Studies 4.9 Conclusion; 4.10 References; 5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model; 5.1 Introduction; 5.2 The Dynamic Equilibrium Model; 5.3 Comparative Statics; 5.4 Empirical Study; 5.5 Conclusion; 5.6 References; 6 Measuring Correlation Risk for Energy Derivatives; 6.1 Introduction; 6.2 Correlation; 6.3 Perturbing the Correlation Matrix; 6.4 Correlation VaR; 6.5 Some Examples; 6.6 Discussion and Conclusions; 6.7 References; 7 Precaution and a Dismal Theorem: Implications for Climate Policy and Climate Research; 7.1 Introduction

7.2 A New Source of Concern: Weitzman's Dismal Theorem 7.3 Implications of the "Dismal Theorem"; 7.4 Some Concluding Remarks; 7.5 References; 8 Incentives for Investing in Renewables; 8.1 Introduction and Background; 8.2 Subsidies for Energy; 8.3 The Model; 8.4 Statistical Estimations; 8.5 Risk Analysis; 8.6 Conclusions; 8.7 References; 9 Hedging the Risk of an Energy Futures Portfolio; 9.1 Mapping Portfolios to Constant Maturity Futures; 9.2 The Portfolio and its Key Risk Factors; 9.3 Identifying the Key Risk Factors; 9.4 Hedging the Portfolio Risk; 9.5 Conclusions; 9.6 References

10 Spark Spread Options when Commodity Prices are Represented as Time Changed Processes 10.1 Spark Spread Options; 10.2 Time Change in a Nutshell; 10.3 Time Change and Commodity Prices; 10.4 An Application to PJM Electricity and NYMEX Natural Gas; 10.5 Conclusions and Further Research; 10.6 Appendix A: Modelling Specification in the Multivariate Case; 10.7 Appendix B: Alternative Modelling Specifications in the Univariate Case; 10.8 References; 11 Freight Derivatives and Risk Management: A Review; 11.1 Introduction; 11.2 Forward Freight Agreements; 11.3 Freight Futures

11.4 "Hybrid" (Cleared) FFAs

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786612010743

9781282010741

1282010743

9781118467381

1118467388

9780470740811

0470740817

OCLC:

796002053