"Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts - the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes"--
This book covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets.
| About the Editors |
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| Introduction |
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1 The Volatility Risk Premium in the Oil Market |
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3 | (24) |
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2 Determinants of Oil Futures Prices and Convenience Yields |
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27 | (22) |
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3 Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model |
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49 | (24) |
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4 Planning Logistics Operations in the Oil Industry |
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73 | (28) |
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5 Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging |
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101 | (24) |
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6 Long-Term Spread Option Valuation and Hedging |
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125 | (24) |
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SECTION 2 Other Commodities |
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7 A Rough Multi-Factor Model of Electricity Spot Prices |
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149 | (30) |
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8 Investing in the Wine Market: A Country-Level Threshold Cointegration Approach |
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179 | (18) |
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9 Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? |
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197 | (20) |
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10 The Structure of Gold and Silver Spread Returns |
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217 | (12) |
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11 Gold and the U.S. Dollar: Tales from the Turmoil |
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229 | (16) |
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12 Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China |
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245 | (20) |
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13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk |
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265 | (36) |
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SECTION 3 Commodity Prices and Financial Markets |
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14 Short-Horizon Return Predictability and Oil Prices |
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301 | (36) |
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15 Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts |
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337 | (22) |
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16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model |
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359 | (30) |
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17 Long-Short Versus Long-Only Commodity Funds |
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389 | (10) |
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18 The Dynamics of Commodity Prices |
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399 | (24) |
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19 Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices |
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423 | (16) |
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20 Commodity Markets through the Business Cycle |
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439 | (30) |
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21 A Hybrid Commodity and Interest Rate Market Model |
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469 | (28) |
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22 Evaluation of Gas Sales Agreements with Indexation Using Tree and Least-Squares Monte Carlo Methods on Graphics Processing Units |
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497 | (40) |
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SECTION 4 Electricity Markets |
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23 Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison |
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537 | (22) |
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24 Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets |
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559 | (14) |
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25 Modelling Spikes and Pricing Swing Options in Electricity Markets |
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573 | (22) |
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26 Efficient Pricing of Swing Options in Levy-Driven Models |
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595 | (16) |
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27 The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels |
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611 | (24) |
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28 Is the EUA a New Asset Class? |
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635 | (24) |
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SECTION 5 Contemporary Topics |
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659 | (32) |
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30 Algorithmic Trading in a Microstructural Limit Order Book Model |
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691 | (40) |
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31 Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? |
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731 | (32) |
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32 Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach |
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763 | (22) |
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33 Classification of Flash Crashes Using the Hawkes (p,q) Framework |
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785 | (50) |
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| Epilogue |
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M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, he has taught and researched in leading universities on both sides of the Atlantic and is founding editor-in-chief of Quantitative Finance and the Oxford Handbooks in Finance. Consultant to many global financial institutions, corporations and governments, he is regularly involved in research presentation and executive education worldwide. He is the author of over 110 research articles in leading international journals and 14 books; his work has won several awards and he is an honorary fellow of the UK Institute of Actuaries, a foreign member of the Academia Lincei (Italian Academy) and managing director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.
Ke Tang is a professor in the Institute of Economics, School of Social Science, Tsinghua University, where he teaches courses in economics and finance. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the University of California, Berkley in 2004, and his doctoral degree in Finance from Cambridge University in 2008. His research has covered such topics as commodity markets, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.
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