1. Auflage - November 2008
105,- Euro
2008. 320 Seiten, Hardcover
- Fachbuch -
ISBN-10: 0-470-69425-4
ISBN-13: 978-0-470-69425-1 - John Wiley & Sons

Preis inkl. Mehrwertsteuer zzgl. Versandkosten.





Probekapitel

Langtext
Commodities are one of the fastest growing markets worldwide. Historically misunderstood, generally understudied and undervalued, certainly underrepresented, commodities are suddenly receiving the attention they deserve. After equities, fixed income and credit, this strategic asset class that has existed since the beginning of time is finally becoming a subject of research and modelling work on the part of academics and practitioners.

Bringing together some of the leading authors in their fields, this book focuses on the risk management issues associated with both soft and hard commodities such as energy, weather, agriculturals, metals and shipping. Taking the reader through the various aspects of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also addresses the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. The implications of climate policy in different continents; the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world are also presented and explained.

It will be valuable reading for energy and mining companies corporates, utilities' practitioners, commodity and cash derivatives traders in investment banks, CTA's and hedge funds managers alike.

Aus dem Inhalt
Preface.

About the Editor.

About the Contributors.

1. Structural Models of Commodity Prices (Craig Pirrong).

2. Forward Curve Modelling in Commodity Markets (Svetlana Borovkova, Universiteit Amsterdam, and Helyette Geman).

3. Integrating Physical and Financial Risk Management in Supply.

Management (Paul R. Kleindorfer).

4. The Design of New Derivative Markets (Giovanni Barone-Adesi).

5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model (Wolfgang Bühler, University of Mannheim, and Jens Müller-Merbach).

6. Measuring Correlation Risk for Energy Derivatives (Roza Galeeva, Jiri Hoogland and Alexander Eydeland).

7. Precaution and a Dismal Theorem: Implications for Climate Policy.

and Climate Research (Gary W. Yohe, Wesleyan University and Richard S. J. Tol).

8. Incentives for Investing in Renewables (Falbo Paolo, Felletti Daniele and Stefani Silvana).

9. Hedging the Risk of an Energy Futures Portfolio (Carol Alexander).

10. Spark Spread Options when Commodity Prices are Represented as Time Changed Processes (Elisa Luciano).

11. Freight Derivatives and Risk Management: A Review (Manolis G. Kavussanos and Ilias D. Visvikis).

12. Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping (H. Geman and S. Ohana).

13. Managing Agricultural Price Risk in Developing Countries (Julie Dana and Christopher L. Gilbert).

14. Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities (George A. Martin and Richard Spurgin).

15. Case Studies and Risk Management in Commodity Derivatives Trading (Hilary Till).

Index.