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Commodities and commodity derivatives : modeling and pricing for agriculturals, metals and energy

Geman, Hélyette (2005), Commodities and commodity derivatives : modeling and pricing for agriculturals, metals and energy, John Wiley & Sons : Hoboken (EU), p. 396

Type
Ouvrage
Date
2005
Publisher
John Wiley & Sons
Series title
Wiley Finance
Published in
Hoboken (EU)
ISBN
0-470-01218-8
Pages
396
Metadata
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Author(s)
Geman, Hélyette
Abstract (EN)
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset class for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: *Economic and geopolitical issues in commodities markets *Commodity price and volume risk *Stochastic modelling of commodity spot prices and forward curves *Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.
Subjects / Keywords
Stochastic modelling of commodity spot prices and forward curves; Real options valuation and hedging of physical assets in the energy industry; Prix - Fixation - Modèles mathématiques; Bourses de marchandises; Economic and geopolotical issues in commodities markets; Commodity price and volume risk
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates

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