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Author : Carlo Cafiero
Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.:/5 (34 download)
Download or read book Estimation of the Commodity Storage Model written by Carlo Cafiero and published by . This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey C. Williams
Publisher : Cambridge University Press
ISBN 13 : 0521326168
Total Pages : 522 pages
Book Rating : 4.5/5 (213 download)
Download or read book Storage and Commodity Markets written by Jeffrey C. Williams and published by Cambridge University Press. This book was released on 1991-03-29 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the capability to store surplus commodities and the impact of stockpiles on prices and production.
Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 239 pages
Book Rating : 4.1/5 (395 download)
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author : Manfred Gilli
Publisher : Springer Science & Business Media
ISBN 13 : 9401587434
Total Pages : 284 pages
Book Rating : 4.4/5 (15 download)
Download or read book Computational Economic Systems written by Manfred Gilli and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The approach to many problems in economic analysis has changed drastically with the development and dissemination of new and more efficient computational techniques. Computational Economic Systems: Models, Methods & Econometrics presents a selection of papers illustrating the use of new computational methods and computing techniques to solve economic problems. Part I of the volume consists of papers which focus on modelling economic systems, presenting computational methods to investigate the evolution of behavior of economic agents, techniques to solve complex inventory models on a parallel computer and an original approach for the construction and solution of multicriteria models involving logical conditions. Contributions to Part II concern new computational approaches to economic problems. We find an application of wavelets to outlier detection. New estimation algorithms are presented, one concerning seemingly related regression models, a second one on nonlinear rational expectation models and a third one dealing with switching GARCH estimation. Three contributions contain original approaches for the solution of nonlinear rational expectation models.
Author : Walter C. Labys
Publisher : Taylor & Francis
ISBN 13 : 1003846718
Total Pages : 222 pages
Book Rating : 4.0/5 (38 download)
Download or read book Commodity Models for Forecasting and Policy Analysis written by Walter C. Labys and published by Taylor & Francis. This book was released on 2024-02-01 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.
Author : Nicola Secomandi
Publisher : World Scientific-Now Publisher
ISBN 13 : 9789813149403
Total Pages : 241 pages
Book Rating : 4.1/5 (494 download)
Download or read book Real Options in Energy and Commodity Markets written by Nicola Secomandi and published by World Scientific-Now Publisher. This book was released on 2017 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets -- which play fundamental roles in the worldwide economy -- have provided a relevant context for real option analysis, both in theory and practice. This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts -- the first on theory and the second on methods and applications. The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping. The four chapters in the second part of the book propose and apply real option models in various domains -- modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.
Author : Alexander Sarris
Publisher : Edward Elgar Publishing
ISBN 13 : 9781781008027
Total Pages : 492 pages
Book Rating : 4.0/5 (8 download)
Download or read book Agricultural Commodity Markets and Trade written by Alexander Sarris and published by Edward Elgar Publishing. This book was released on 2006-01-27 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book argues that the viability of many observed market and non-market interventions in agricultural products worldwide depends considerably on the underlying behaviour of the relevant commodity markets. Many of these policies have had distortive impacts, resulting in much discussion and controversy in the context of the World Trade Organization (WTO) Doha Round of trade negotiations.
Author : Takatoshi Ito
Publisher : University of Chicago Press
ISBN 13 : 0226386899
Total Pages : 346 pages
Book Rating : 4.2/5 (263 download)
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Author : Andrea Roncoroni
Publisher : John Wiley & Sons
ISBN 13 : 0470661836
Total Pages : 1076 pages
Book Rating : 4.4/5 (76 download)
Download or read book Handbook of Multi-Commodity Markets and Products written by Andrea Roncoroni and published by John Wiley & Sons. This book was released on 2015-02-19 with total page 1076 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
Author : Walter C. Labys
Publisher :
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.:/5 (32 download)
Download or read book Dynamic Commodity Models: Specification, Estimation, and Simulation written by Walter C. Labys and published by . This book was released on 1973 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: Deals with the theory and methods required for specifying, estimating, validating, and applying commodity models which describe behavior of a quarterly or annual nature, though certain ...
Author : O. Güvenen
Publisher : Springer Science & Business Media
ISBN 13 : 940091167X
Total Pages : 276 pages
Book Rating : 4.4/5 (9 download)
Download or read book International Commodity Market Models and Policy Analysis written by O. Güvenen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: o. Guvenen, University of Paris IX-Dauphine The aim of this publication is to present recent developments in international com modity market model building and policy analysis. This book is based mainly on the research presented at the XlIth International Conference organised by the Applied Econometric Association (AEA) which was held at the University of Zaragoza in Spain. This conference would not have been possible with out the cooperation of the Department of Econometrics of the University of Zaragoza and its Chairman A.A. Grasa. I would like to express my thanks to all contributors. I am grateful to J.H.P. Paelinck, J.P. Ancot, A.J. Hughes Hallett and H. Serbat for their constructive contributions and comments concerning the structure of the book. vii INTRODUCTION o. Guvenen The challenge of increasing complexity and global interdependence at the world level necessitates new modelling approaches and policy analysis at the macroeconomic level, and for commodities. The evaluation of economic modelling.follows the evolution of international economic phenomena. In that interdependent context there is a growing need for forecasting and simulation tools in the analysis of international primary com modity markets.
Author : Peter V. Schaeffer
Publisher : John Wiley & Sons
ISBN 13 : 0470447435
Total Pages : 442 pages
Book Rating : 4.4/5 (74 download)
Download or read book Commodity Modeling and Pricing written by Peter V. Schaeffer and published by John Wiley & Sons. This book was released on 2008-12-03 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity Modeling and Pricing provides extensions and applications of state-of-the-art methods for analyzing resource commodity behavior. Drawing from the seminal work of Professor Walter Labys on the development of econometric methods for forecasting commodity prices, this collection of essays features expert contributors ranging from practitioners in private industry, public sector, and nongovernmental organizations to scholars in higher education–all of whom were Labys's former students or collaborators. Filled with in-depth insights and expert advice, Commodity Modeling and Pricing contains the information you need to excel in this demanding environment.
Author : CFA Institute
Publisher : John Wiley & Sons
ISBN 13 : 1119396611
Total Pages : 3282 pages
Book Rating : 4.1/5 (193 download)
Download or read book CFA Program Curriculum 2018 Level II written by CFA Institute and published by John Wiley & Sons. This book was released on 2017-08-01 with total page 3282 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the practical aspects of the CFA Program Curriculum with expert instruction for the 2018 exam The same official curricula that CFA Program candidates receive with program registration is now publicly available for purchase. CFA Program Curriculum 2018 Level II, Volumes 1-6 provides the complete Level II Curriculum for the 2018 exam, with practical instruction on the Candidate Body of Knowledge (CBOK) and how it is applied, including expert guidance on incorporating concepts into practice. Level II focuses on complex analysis with an emphasis on asset valuation, and is designed to help you use investment concepts appropriately in situations analysts commonly face. Coverage includes ethical and professional standards, quantitative analysis, economics, financial reporting and analysis, corporate finance, equities, fixed income, derivatives, alternative investments, and portfolio management organized into individual study sessions with clearly defined Learning Outcome Statements. Charts, graphs, figures, diagrams, and financial statements illustrate complex concepts to facilitate retention, and practice questions with answers allow you to gauge your understanding while reinforcing important concepts. While Level I introduced you to basic foundational investment skills, Level II requires more complex techniques and a strong grasp of valuation methods. This set dives deep into practical application, explaining complex topics to help you understand and retain critical concepts and processes. Incorporate analysis skills into case evaluations Master complex calculations and quantitative techniques Understand the international standards used for valuation and analysis Gauge your skills and understanding against each Learning Outcome Statement CFA Institute promotes the highest standards of ethics, education, and professional excellence among investment professionals. The CFA Program Curriculum guides you through the breadth of knowledge required to uphold these standards. The three levels of the program build on each other. Level I provides foundational knowledge and teaches the use of investment tools; Level II focuses on application of concepts and analysis, particularly in the valuation of assets; and Level III builds toward synthesis across topics with an emphasis on portfolio management.
Author : Walter C. Labys
Publisher : Routledge
ISBN 13 : 1351917080
Total Pages : 247 pages
Book Rating : 4.3/5 (519 download)
Download or read book Modeling and Forecasting Primary Commodity Prices written by Walter C. Labys and published by Routledge. This book was released on 2017-03-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1118539958
Total Pages : 3180 pages
Book Rating : 4.1/5 (185 download)
Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.
Author : Helyette Geman
Publisher : John Wiley & Sons
ISBN 13 : 0470687738
Total Pages : 479 pages
Book Rating : 4.4/5 (76 download)
Download or read book Commodities and Commodity Derivatives written by Helyette Geman and published by John Wiley & Sons. This book was released on 2009-09-24 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Author : Michael Mastro, PhD
Publisher : John Wiley & Sons
ISBN 13 : 1118501810
Total Pages : 534 pages
Book Rating : 4.1/5 (185 download)
Download or read book Financial Derivative and Energy Market Valuation written by Michael Mastro, PhD and published by John Wiley & Sons. This book was released on 2013-02-19 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: A road map for implementing quantitative financial models Financial Derivative and Energy Market Valuation brings the application of financial models to a higher level by helping readers capture the true behavior of energy markets and related financial derivatives. The book provides readers with a range of statistical and quantitative techniques and demonstrates how to implement the presented concepts and methods in Matlab®. Featuring an unparalleled level of detail, this unique work provides the underlying theory and various advanced topics without requiring a prior high-level understanding of mathematics or finance. In addition to a self-contained treatment of applied topics such as modern Fourier-based analysis and affine transforms, Financial Derivative and Energy Market Valuation also: • Provides the derivation, numerical implementation, and documentation of the corresponding Matlab for each topic • Extends seminal works developed over the last four decades to derive and utilize present-day financial models • Shows how to use applied methods such as fast Fourier transforms to generate statistical distributions for option pricing • Includes all Matlab code for readers wishing to replicate the figures found throughout the book Thorough, practical, and easy to use, Financial Derivative and Energy Market Valuation is a first-rate guide for readers who want to learn how to use advanced numerical methods to implement and apply state-of-the-art financial models. The book is also ideal for graduate-level courses in quantitative finance, mathematical finance, and financial engineering.
