Handbook of Multi-Commodity Markets and Products : Structuring, Trading and Risk Management.
Andrea. Roncoroni
Bok Engelsk 2015 · Electronic books.
| Omfang | 1 online resource (1067 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- Handbook of Multi-Commodity Markets and Products -- Contents -- Preface -- Acknowledgements -- About the Editors -- List of Contributors -- PART ONE Commodity Markets and Products -- 1 Oil Markets and Products -- 1.1 Introduction -- 1.2 Risk Management for Corporations: Hedging Using Derivative Instruments -- 1.2.1 Crude Oil and Oil Products Risk Management for Corporations -- 1.2.2 Aviation: Risk Profile and Hedging Strategies -- 1.2.3 Shipping: Risk Profile and Hedging Strategies -- 1.2.4 Land Transportation: Risk Profile and Hedging Strategies -- 1.2.5 Utilities: Risk Profile and Hedging Strategies -- 1.2.6 Refineries: Risk Profile and Hedging Strategies -- 1.2.7 Industrial Consumers: Risk Profile and Hedging Strategies -- 1.3 Oil Physical Market Hedging and Trading -- 1.3.1 The Actors, Futures and OTC Prices -- 1.3.2 The Most Commonly Used Financial Instruments -- 1.3.3 How to Monitor and Manage Risk -- 1.3.4 How to Create a Market View -- 1.3.5 Trading Strategies to Maximize a Market View -- Further Reading -- 2 Coal Markets and Products -- 2.1 Introduction -- 2.2 Source of Coal- Synopsis of the Resource Coal -- 2.2.1 The Fundamentals of Energy Sources and Fossil Fuels -- 2.2.2 Process of Coal Formation -- 2.2.3 Coal Classification -- 2.2.4 Reserves and Resources -- 2.2.5 Coal Mining and Production -- 2.3 Use of Coal- Power Generation and More -- 2.3.1 Steam Coal and its Role in Power Generation -- 2.3.2 Coal-Fired Power Plant Technologies -- 2.3.3 Cement and Other Industry -- 2.3.4 Alternatives to Coal: Shale Gas and Other -- 2.3.5 Future Trend: CtL and Coal Bed Methane -- 2.4 Overview of Worldwide Steam Coal Supply and Demand -- 2.4.1 Atlantic Demand Market: Europe at its Core -- 2.4.2 Pacific Demand Market: China, India, Japan, Taiwan, Korea and SEA -- 2.4.3 Steam Coal Supply Regions: ID, AU, USA, SA, RU, CO and Others.. - 10.7.2 Leveraged Forward.. - 2.4.4 Seaborne Freight -- 2.4.5 Geopolitical and Policy Environment -- 2.5 The Global Steam Coal Trade Market and its Future -- 2.5.1 Current and Future Market Dynamics of the Coal Trade -- 2.5.2 Future Steam Coal Price Trends -- 2.5.3 Future Source of Energy: What Role Will Coal Play? -- 2.6 Concluding Words -- 2.6 Abbreviations and Definitions -- 2.6 Acknowledgements -- References -- 3 Natural Gas Markets and Products -- 3.1 Physical Natural Gas Markets -- 3.1.1 Physical Structure -- 3.1.2 Natural Gas Market Hubs and Main Participants -- 3.1.3 Liquefied Natural Gas -- 3.1.4 Shale Gas -- 3.2 Natural Gas Contracting and Pricing -- 3.2.1 Natural Gas Price Formation -- 3.3 Financial Natural Gas Markets -- 3.3.1 Exchange-Based Markets -- 3.3.2 Natural Gas Futures -- 3.3.3 Natural Gas Options -- 3.3.4 OTC Markets and Products -- References -- 4 Electricity Markets and Products -- 4.1 Market Structure and Price Components -- 4.1.1 Spot and Forward Markets -- 4.1.2 Supply and Demand Interaction -- 4.1.3 Electricity Derivatives -- 4.1.4 Power Price Models -- 4.1.5 Spot Price Analysis (IPEX Case) -- 4.1.6 Forward Price Analysis (EEX Case) -- 4.2 Renewables, Intra-Day Trading and Capacity Markets -- 4.2.1 Renewables Expansion Targets -- 4.2.2 Growth in Intra-Day Trading -- 4.2.3 Implications for Future Price Volatility and Price Profiles -- 4.2.4 Reforms and Innovations in Capacity Markets -- 4.2.5 Provision and Remuneration of Flexibility - Storage Assets -- 4.3 Risk Measures for Power Portfolios -- 4.3.1 Value-Based Risk Measures -- 4.3.2 Flow-Based Risk Measures -- 4.3.3 Credit Risk for Power Portfolios -- References -- Further Reading -- 5 Emissions Markets and Products -- 5.1 Introduction -- 5.2 Climate change and the economics of externalities -- 5.2.1 The Climate Change Issue -- 5.2.2 The Economics of Externality and GHG Pollution.. - 5.3 The Kyoto Protocol -- 5.3.1 The United Nations Framework Convention on Climate Change -- 5.3.2 The Conference of Parties and the Subsidiary Bodies -- 5.3.3 The Kyoto Protocol -- 5.3.4 The Road to Paris -- 5.4 The EU ETS -- 5.4.1 Institutional Features -- 5.4.2 Allocation Criteria -- 5.4.3 Market Players and the Permit Markets -- 5.4.4 The Future of the EU ETS -- 5.5 Regional Markets: A Fragmented Landscape -- 5.5.1 Regional Markets -- 5.5.2 Voluntary Markets -- 5.6 A New Asset Class: CO2 Emission Permits -- 5.6.1 Macroeconomic Models -- 5.6.2 Econometric Investigation of CO2 Permit Price Time Series -- 5.6.3 Stochastic Equilibrium Models -- 5.6 Abbreviations -- References -- 6 Weather Risk and Weather Derivatives -- 6.1 Introduction -- 6.2 Identification of Volumetric Risk -- 6.2.1 Weather Events on the Demand Curve -- 6.2.2 Weather Events on the Supply Curve -- 6.2.3 Risk Measurement and Weather-at-Risk -- 6.3 Atmospheric Temperature and Natural Gas Market -- 6.3.1 Characterization of the Air Temperature Meteorological Variable -- 6.3.2 Degree Days -- 6.3.3 Volumetric Risk in the Natural Gas Market -- 6.4 Modification of Weather Risk Exposure with Weather Derivatives -- 6.4.1 Weather Derivatives for Temperature-Related Risk -- 6.5 Conclusions -- 6.5 Nomenclature -- References -- 7 Industrial Metals Markets and Products -- 7.1 General Overview -- 7.1.1 Brief History of the LME -- 7.1.2 Non-ferrous Metals -- 7.1.3 Other Metals -- 7.1.4 LME Instruments -- 7.1.5 OTC Instruments -- 7.1.6 A New Player: The Investor -- 7.2 Forward Curves -- 7.2.1 Building LMEs Curves in Practice -- 7.2.2 Interpolation -- 7.2.3 LME, COMEX and SHFE Copper Curve and Arbitrage -- 7.2.4 Contango Limit… -- 7.2.5 …and No-Limit Backwardation -- 7.2.6 Hedging the Curve in Practice -- 7.3 Volatility -- 7.3.1 A European Disguised as an American -- 7.3.2 LMEs Closing Volatilities.. - 7.3.3 Sticky Strike, Sticky Delta and Skew -- 7.3.4 Building the Surface in Practice -- 7.3.5 Considerations on Vega Hedging -- 7.3 Acknowledgements -- References -- Further Reading -- 8 Freight Markets and Products -- 8.1 Introduction -- 8.2 Business Risks in Shipping -- 8.2.1 The Sources of Risk in the Shipping Industry -- 8.2.2 Market Segmentation in the Shipping Industry -- 8.2.3 Empirical Regularities in Freight Rate Markets -- 8.2.4 Traditional Risk Management Strategies -- 8.3 Freight Rate Derivatives -- 8.3.1 Risk Management in Shipping -- 8.3.2 The Underlying Indices of Freight Rate Derivatives -- 8.3.3 The Freight Derivatives Market -- 8.3.4 Examples of Freight Derivatives Trading -- 8.4 Pricing, Hedging and Freight Rate Risk Measurement -- 8.4.1 Pricing and Hedging Effectiveness of Freight Derivatives -- 8.4.2 Value-at-Risk (VaR) in Freight Markets -- 8.4.3 Expected Shortfall (ES) in Freight Markets -- 8.4.4 Empirical Evidence on Freight Derivatives -- 8.5 Other Derivatives for the Shipping Industry -- 8.5.1 Bunker Fuel Derivatives -- 8.5.2 Vessel Value Derivatives -- 8.5.3 Foreign Exchange Rate Derivatives Contracts -- 8.5.4 Interest Rate Derivatives Contracts -- 8.6 Conclusion -- 8.6 Acknowledgements -- References -- 9 Agricultural and Soft Markets -- 9.1 Introduction: Stakes and Objectives -- 9.1.1 Stakes -- 9.1.2 Objectives -- 9.2 Agricultural Commodity Specificity and Futures Markets -- 9.2.1 Agricultural Commodity Specificity -- 9.2.2 Volatility of Agricultural Markets -- 9.2.3 Forward Contract and Futures Contract -- 9.2.4 Major Agricultural Futures Markets and Contracts -- 9.2.5 Roles of Futures Markets -- 9.2.6 Institutions Related to Futures Markets -- 9.2.7 Commodity Futures Contracts -- 9.2.8 The Operators -- 9.2.9 Monitoring Hedging: Settlement -- 9.2.10 Accounting and Tax Rules.. - 9.3 Demand and Supply, Price Determinants and Dynamics -- 9.3.1 Supply and Demand for Agricultural Commodities: The Determinants -- 9.3.2 Agricultural Market Prices, Failures and Policies -- 9.3.3 The Price Dynamics of Seasonal and Storable Agricultural Commodities -- 9.3.4 The Features of Major Agricultural and Soft Markets -- 9.4 Hedging and Basis Management -- 9.4.1 Short Hedging for Producers -- 9.4.2 Long Hedging for Processors -- 9.4.3 Management of Basis Risk -- 9.5 The Financialization of Agricultural Markets and Hunger: Speculation and Regulation -- 9.5.1 Factors Affecting the Volatility of Agricultural Commodity Prices -- 9.5.2 Financialization: Impact of Non-commercial Traders on Market Price -- 9.5.3 The Financialization of Grain Markets and Speculation -- 9.5.4 Bubble or Not, Agricultural Commodities have Become an Asset Class -- 9.5.5 Price Volatility and Regulation -- 9.5.6 Ongoing Research about Speculation and Regulation -- 9.6 Conclusion about Hedging and Futures Contracts -- 9.6.1 Hedging Process -- 9.6.2 Key Success Factors for Agricultural Commodity Futures Contracts -- 9.6.3 Conclusion and Prospects -- References -- 9.6 Glossary, Quotations and Policy on Websites -- 10 Foreign Exchange Markets and Products -- 10.1 The FX Market -- 10.1.1 FX Rates and Spot Contracts -- 10.1.2 Outright and FX Swap Contracts -- 10.1.3 FX Option Contracts -- 10.1.4 Main Traded FX Options Structures -- 10.2 Pricing Models for FX Options -- 10.2.1 The Black-Scholes Model -- 10.3 The Volatility Surface -- 10.4 Barrier Options -- 10.4.1 A Taxonomy of Barrier Options -- 10.5 Sources of FX Risk Exposure -- 10.6 Hedging FX Exposures Embedded in Energy and Commodity Contracts -- 10.6.1 FX Forward Exposures and Conversions -- 10.6.2 FX-Linked Energy Contracts -- 10.7 Typical Hedging Structures for FX Risk Exposure -- 10.7.1 Collar Plain Vanilla.. - The comprehensive guide to working more effectively within the multi-commodity market. The Handbook of Multi-Commodity Markets and Products is the definitive desktop reference for traders, structurers, and risk managers who wish to broaden their knowledge base. This non-technical yet sophisticated manual covers everything the professional needs to become acquainted with the structure, function, rules, and practices across a wide spectrum of commodity markets. Contributions from a global team of renowned industry experts provide real-world examples for each market, along with tools for analyzing, pricing, and risk managing deals. The discussion focuses on convergence, including arbitrage valuation, econometric modeling, market structure analysis, contract engineering, and risk, while simulated scenarios help readers understand the practical application of the methods and models presented. Gradual deregulation and the resulting increase in diversity and activity have driven the evolution of the traditionally segmented market toward integration, raising important questions about opportunity identification and analysis in multi-commodity deals. This book helps professionals navigate the shift, providing in-depth information and practical advice. Structure and manage both simple and sophisticated multi-commodity deals Exploit pay-off profiles and trading strategies with a diversified set of commodity prices Develop more accurate forecasting models by considering additional metrics Price energy products and other commodities in segmented markets with an eye toward specific structural features As one of the only markets strong enough to boom during the credit crunch, the commodities markets are growing rapidly. Combined with increasing convergence, this transition presents potentially valuable opportunities for the development of a robust. - multi-commodity portfolio. For the professional seeking deeper understanding and a more effective strategy, the Handbook of Multi-Commodity Markets and Products offers complete information and expert guidance.
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| ISBN | 9780470662502
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