The Convenience Yield

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Trading and Pricing Financial Derivatives

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 273 pages
Book Rating : 4.5/5 (474 download)

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Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Real Options in Energy and Commodity Markets

Author : Nicola Secomandi
Publisher : World Scientific-Now Publisher
ISBN 13 : 9789813149403
Total Pages : 241 pages
Book Rating : 4.1/5 (494 download)

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Book Synopsis Real Options in Energy and Commodity Markets by : Nicola Secomandi

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.

The Handbook of Commodity Investing

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470293209
Total Pages : 986 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi

Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.

Financial Mathematics, Derivatives and Structured Products

Author : Raymond H. Chan
Publisher : Springer
ISBN 13 : 9811336962
Total Pages : 397 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Financial Mathematics, Derivatives and Structured Products by : Raymond H. Chan

Download or read book Financial Mathematics, Derivatives and Structured Products written by Raymond H. Chan and published by Springer. This book was released on 2019-02-27 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)

Commodity Price Dynamics

Author : Craig Pirrong
Publisher : Cambridge University Press
ISBN 13 : 1139501976
Total Pages : 239 pages
Book Rating : 4.1/5 (395 download)

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Book Synopsis Commodity Price Dynamics by : Craig Pirrong

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.

Natural Resource Pricing and Rents

Author : Andrey Vavilov
Publisher : Springer Nature
ISBN 13 : 3030767531
Total Pages : 314 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Natural Resource Pricing and Rents by : Andrey Vavilov

Download or read book Natural Resource Pricing and Rents written by Andrey Vavilov and published by Springer Nature. This book was released on 2021-08-03 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines the economics of natural resource markets and pricing, as well as the field of natural resource economics in general. It presents the key contributions to this field of research, including the pioneering works and contemporary studies. The book highlights the basic principles and ideas underlying theoretical models of resource pricing. The models considered in the book underline the fundamental determinants of resource prices and the economic nature of rents for non-renewable and renewable resources. Besides the classical theory of exhaustible resource economics, the book includes several issues that are of high importance for global economic growth, such as the transition to alternative energy and the economics of climate change. The authors also consider the issues of commodity pricing and a resource cartel’s activity that are relevant to the world oil market. The book provides analytical solutions illustrated with numerical examples. It allows an intuitive understanding of the subject and the model inferences through graphical illustrations and an informal introduction. It, therefore, is a must-read for everybody interested in a better understanding of resource prices, resource markets, and resource economics.

Stochastic Modelling of Electricity and Related Markets

Author : Fred Espen Benth
Publisher : World Scientific
ISBN 13 : 981281230X
Total Pages : 352 pages
Book Rating : 4.8/5 (128 download)

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Book Synopsis Stochastic Modelling of Electricity and Related Markets by : Fred Espen Benth

Download or read book Stochastic Modelling of Electricity and Related Markets written by Fred Espen Benth and published by World Scientific. This book was released on 2008 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.

Risk Management, Speculation, and Derivative Securities

Author : Geoffrey Poitras
Publisher : Academic Press
ISBN 13 : 9780125588225
Total Pages : 628 pages
Book Rating : 4.5/5 (882 download)

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Book Synopsis Risk Management, Speculation, and Derivative Securities by : Geoffrey Poitras

Download or read book Risk Management, Speculation, and Derivative Securities written by Geoffrey Poitras and published by Academic Press. This book was released on 2002-06-10 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.

The Economic Function of Futures Markets

Author : Jeffrey Williams
Publisher : CUP Archive
ISBN 13 : 9780521389341
Total Pages : 276 pages
Book Rating : 4.3/5 (893 download)

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Book Synopsis The Economic Function of Futures Markets by : Jeffrey Williams

Download or read book The Economic Function of Futures Markets written by Jeffrey Williams and published by CUP Archive. This book was released on 1989-10-27 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers an explanation of why commodity processors and dealers use futures markets. It argues that they use futures contracts as part of an implicit method of borrowing and lending commodities, contrary to the accepted view of dealers averse to the fluctuating value of their inventories wanting insurance against price risk. Employing models developed to explain the demand for money, this book demonstrates that risk-neutral dealers have sufficient reason to use futures markets. Moreover, the book exposes major internal inconsistencies in the accepted explanation. Rather than insurance markets, the appropriate analogy is the money market, which is the point the book establishes through discussing actual loan markets in commodities. This insight into the function of futures markets is then used to explain how futures prices for different delivery dates express a term structure of commodity-specific interest rates and why futures markets flourish for some types of commodities and not for others.

Energy Risk: Valuing and Managing Energy Derivatives

Author : Dragana Pilipovic
Publisher : McGraw Hill Professional
ISBN 13 : 0071594477
Total Pages : 530 pages
Book Rating : 4.0/5 (715 download)

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Book Synopsis Energy Risk: Valuing and Managing Energy Derivatives by : Dragana Pilipovic

Download or read book Energy Risk: Valuing and Managing Energy Derivatives written by Dragana Pilipovic and published by McGraw Hill Professional. This book was released on 2007-08-13 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Latest Methods and Strategies for Successfully Trading and Managing Risk in Today's Volatile Energy Markets The updated Second Edition of Energy Risk presents an authoritative overview of the contemporary energy trading arena, combining the lesson's from the last decade with proven methods and strategies required for valuing energy derivatives and managing risk in these ever volatile markets. Written by renowned energy risk expert Dragana Pilipovic this revised classic examines market behavior, covering both quantitative analysis and trader-oriented insights. The book shows how to establish a modeling process that involves the key players_managers, traders, quantitative analysts, and engineers_and provides practical answers to energy trading and risk management questions. The Second Edition of Energy Risk features: Detailed coverage of the primary factors that influence energy risk Techniques for building marked-to-market forward price curves, creating volatility matrices, and valuing complex options Specific guidelines and tools for achieving risk goals New to this edition: three new chapters on the emerging energy market and marked-to-market issues; new material on energy-specific models, seasonal effects, and the derivation of the mean-reverting price model; and more

Model Rules of Professional Conduct

Author : American Bar Association. House of Delegates
Publisher : American Bar Association
ISBN 13 : 9781590318737
Total Pages : 216 pages
Book Rating : 4.3/5 (187 download)

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Book Synopsis Model Rules of Professional Conduct by : American Bar Association. House of Delegates

Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.

Commodities and Commodity Derivatives

Author : Helyette Geman
Publisher : John Wiley & Sons
ISBN 13 : 0470687738
Total Pages : 479 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Commodities and Commodity Derivatives by : Helyette Geman

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

Principles of Financial Engineering

Author : Robert Kosowski
Publisher : Academic Press
ISBN 13 : 0123870070
Total Pages : 893 pages
Book Rating : 4.1/5 (238 download)

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Book Synopsis Principles of Financial Engineering by : Robert Kosowski

Download or read book Principles of Financial Engineering written by Robert Kosowski and published by Academic Press. This book was released on 2014-11-26 with total page 893 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The solutions manual enhances the text by presenting additional cases and solutions to exercises

Gold and Prices

Author : George F. Warren
Publisher : Routledge
ISBN 13 : 1351265865
Total Pages : 545 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis Gold and Prices by : George F. Warren

Download or read book Gold and Prices written by George F. Warren and published by Routledge. This book was released on 2017-11-08 with total page 545 pages. Available in PDF, EPUB and Kindle. Book excerpt: This influential study of the relationship between the prices of gold and other commodities was originally published in 1935. In it the authors attributed the initial cause of the great depression in the US to the reestablishment of the gold standard in many European countries and resulting deflation. The authors' recommendations were successfully implemented by Franklin D. Roosevelt.

Commodities and Equities

Author : Bahattin Büyüksahin
Publisher : Nova Science Publishers
ISBN 13 : 9781606920183
Total Pages : 66 pages
Book Rating : 4.9/5 (21 download)

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Book Synopsis Commodities and Equities by : Bahattin Büyüksahin

Download or read book Commodities and Equities written by Bahattin Büyüksahin and published by Nova Science Publishers. This book was released on 2009 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Amidst a sharp rise in commodity investing, many have asked whether commodities nowadays move in sync with traditional financial assets. The authors provide evidence that challenges this idea. Using dynamic correlation and recursive co-integration techniques, they found that the relation between the returns on investable commodity and U.S. equity indices has not changed significantly in the last fifteen years. The authors also find no evidence of any secular increase in co-movement between the returns on commodity and equity investments during periods of extreme returns.

Quantile Regression

Author : Cristina Davino
Publisher : John Wiley & Sons
ISBN 13 : 111997528X
Total Pages : 288 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Quantile Regression by : Cristina Davino

Download or read book Quantile Regression written by Cristina Davino and published by John Wiley & Sons. This book was released on 2013-12-31 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the implementation and interpretation of Quantile Regression models This book explores the theory and numerous applications of quantile regression, offering empirical data analysis as well as the software tools to implement the methods. The main focus of this book is to provide the reader with a comprehensive description of the main issues concerning quantile regression; these include basic modeling, geometrical interpretation, estimation and inference for quantile regression, as well as issues on validity of the model, diagnostic tools. Each methodological aspect is explored and followed by applications using real data. Quantile Regression: Presents a complete treatment of quantile regression methods, including, estimation, inference issues and application of methods. Delivers a balance between methodolgy and application Offers an overview of the recent developments in the quantile regression framework and why to use quantile regression in a variety of areas such as economics, finance and computing. Features a supporting website (www.wiley.com/go/quantile_regression) hosting datasets along with R, Stata and SAS software code. Researchers and PhD students in the field of statistics, economics, econometrics, social and environmental science and chemistry will benefit from this book.

Mr Bitcoin

Author : Mpho Dagada
Publisher :
ISBN 13 : 9781431426720
Total Pages : 0 pages
Book Rating : 4.4/5 (267 download)

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Book Synopsis Mr Bitcoin by : Mpho Dagada

Download or read book Mr Bitcoin written by Mpho Dagada and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bitcoin is a decentralised virtual currency that uses cryptography to remove the need for trust between agents and intermediaries. Though it is deemed a currency, the cryptographic nature of bitcoin gives it characteristics similar to commodities, for example, gold. This thesis examines the relationship between spot and futures prices in the bitcoin market. It also applies the well known Gibson-Schwartz model to the pricing of bitcoin futures contracts. A sample from March 2013 to February 2015 is considered, including two separate periods of substantial increase in the bitcoin spot market. Findings suggest that the futures market was significantly in contango, with convenience yields often below -100% p.a. and significant arbitrage profits readily available. The convenience yield is found to be mean-reverting and decreasing in magnitude since 2013, with the market inefficiently pricing convenience yield risk. A negative relationship between the convenience yield and spot price volatility is observed, drawing comparisons with the electricity market. Overall, the Gibson-Schwartz model is found to provide a good fit to nearest-term futures contracts, while it fails to appropriately price bitcoin futures with longer maturities.