| Description |
1 online resource |
| Series |
Chapman & Hall/CRC financial mathematics series |
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Chapman & Hall/CRC financial mathematics series.
|
| Contents |
Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Introduction -- 1. Commodity-linked Products -- 1.1 Forward Contracts and Exchange Traded Futures -- 1.1.1 Forward Price -- 1.1.2 Futures Price -- 1.1.3 Spot-forward Relationship -- 1.1.3.1 Spot/Futures Arbitrage and the Basis -- 1.2 Options -- 1.2.1 European Options -- 1.2.2 American Options -- 1.2.3 Option Strategies -- 1.2.4 Exotic Options -- 1.3 Swaps -- 1.3.1 Plain Vanilla Swap -- 1.3.2 Other Swap Types -- 1.4 Commodity Spreads -- 1.5 Exercises -- 1.6 Answers |
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2. Spot Price Modelling -- 2.1 One-factor Models -- 2.1.1 Geometric Brownian Motion -- 2.1.2 Mean-reverting Process -- 2.2 Two-factor and Three-factor Models -- 2.3 Jump-diffusion Models -- 2.4 Seasonality Modelling -- 2.5 Stochastic Volatility Model -- 2.6 Regime-switching Models -- 2.7 Exercises -- 2.8 Answers -- 3. Forward Price Modelling -- 3.1 Forward/Futures Valuation -- 3.2 Forward Price Models -- 3.3 Modelling the Seasonality -- 3.4 Exercises -- 3.5 Answers -- 4. Derivative Valuation -- 4.1 Introduction to Valuation Models -- 4.2 Closed Form Solution Models |
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4.2.1 The Black and Scholes Model -- 4.2.2 The Black Model -- 4.2.3 The Volatility Smile -- 4.3 The Binomial Model -- 4.4 The Monte Carlo Approach -- 4.5 Exercises -- 4.6 Answers -- 5. Applications -- 5.1 Modelling the Italian Electricity Spot Market -- Jumps or Spikes -- High Volatility -- Mean Reversion -- Seasonality -- Asymmetric Probability Distribution -- 5.1.1 Data Analysis -- 5.1.2 Price Analysis -- 5.1.3 Log-return Analysis -- 5.1.4 The Model -- 5.1.5 Hedging Strategy -- Case 1: One-year Payoff Period -- Case 2: One-month Payoff Period -- 5.2 Spark Spread Modelling |
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5.2.1 The Spot Price Models -- 5.2.2 Data Analysis -- 5.3 Arbitrage Strategy in Commodity Markets -- 5.3.1 Mispricing Investigation -- 5.3.2 Statistical Arbitrage Trading Strategies -- 5.3.3 Forecasting Model -- 6. Essential Statistics and Data Analysis -- 6.1 Plotting Time Series -- 6.2 Probability Distribution Analysis -- 6.3 Some Essential Statistical Tests -- 6.3.1 QQ Test -- 6.3.2 The Autocorrelation Test -- 6.3.3 R2 -- Bibliography -- Index |
| Summary |
Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks. Key features: Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners Illustrates some important pricing models using real data sets that will be commonly used in financial markets |
| Bibliography |
Includes bibliographical references |
| Notes |
Viviana Fanelli is Associate Professor of Mathematical Methods of Economics, Actuarial Science and Finance at the University of Bari Aldo Moro in Italy. She has also been an advisor at Mantho Solutions Ltd., London, where she focused on mathematical modelling and quantitative analysis. She has been appointed as course leader on financial risk management at a GARP-ERP Certification Program and as lecturer in energy finance at MIP - Polytechnic of Milan. Her research interests cover commodity finance, asset pricing, arbitrage strategies, dynamic models, interest rate and credit risk modelling. She regularly publishes in academic journals, including Quantitative Finance, European Journal of Operational Research, Applied Energy and Nonlinear Analysis RWA. Viviana holds a PhD in mathematical methods for financial and economic decisions |
| Subject |
Finance -- Mathematical models.
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Commodity exchanges.
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commodity exchanges.
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BUSINESS & ECONOMICS -- Finance.
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Commodity exchanges
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Finance -- Mathematical models
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| Form |
Electronic book
|
| ISBN |
9781351730945 |
|
1351730940 |
|
9781315184371 |
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1315184370 |
|
9781351730952 |
|
1351730959 |
|
9781351730938 |
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1351730932 |
|
