Commodity Option Pricing : A Practitioner's Guide.
Iain J. Clark
Bok Engelsk 2014 · Electronic books.
| Omfang | 1 online resource (343 pages)
|
|---|---|
| Utgave | 1st ed.
|
| Opplysninger | Intro -- Commodity Option Pricing -- Contents -- Acknowledgements -- Web page for this book -- Notation -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Trade, Commerce and Commodities -- 1.2 Adapting to Commodities as an Asset Class -- 1.2.1 Classification of Commodities into Sub-categories -- 1.3 Challenges in Commodity Models -- 1.3.1 Futures -- 1.3.2 Correlation -- 1.3.3 Seasonality -- 1.3.4 American and Asian Features -- 2 Commodity Mathematics and Products -- 2.1 Spot, Forwards and Futures -- 2.1.1 Spot -- 2.1.2 Forwards -- 2.1.3 Futures -- 2.2 The Black-Scholes and Black-76 Models -- 2.2.1 The Black-Scholes Model -- 2.2.2 The Black-Scholes Model Without Convenience Yield -- 2.2.3 The Black-Scholes Model With Convenience Yield -- 2.2.4 The Black-76 Model -- 2.2.5 Risk-Neutral Valuation -- 2.2.6 Forwards -- 2.2.7 The Black-Scholes Term Structure Model -- 2.3 Forward and Futures Contracts -- 2.3.1 Forwards -- 2.3.2 Futures -- 2.3.3 Case Study -- 2.4 Commodity Swaps -- 2.5 European Options -- 2.5.1 European Options on Spot -- 2.5.2 European Options on Futures -- 2.5.3 Settlement Adjustments -- 2.6 American Options -- 2.6.1 Barone-Adesi and Whaley (1987) -- 2.6.2 Lattice Methods -- 2.7 Asian Options -- 2.7.1 Geometric Asian Options - Continuous Averaging -- 2.7.2 Arithmetic Asian Options - Continuous Averaging -- 2.7.3 Geometric Average Options - Discrete Fixings - Kemna and Vorst (1990) -- 2.7.4 Arithmetic Average Options - Discrete Fixings - Turnbull and Wakeman (1991) -- 2.8 Commodity Swaptions -- 2.9 Spread Options -- 2.9.1 Margrabe Exchange Options -- 2.9.2 The Kirk Approximation -- 2.9.3 Calendar Spread Options -- 2.9.4 Asian Spread Options -- 2.10 More Advanced Models -- 2.10.1 Mean Reverting Models -- 2.10.2 Multi-Factor Models -- 2.10.3 Convenience Yield Models -- 3 Precious Metals -- 3.1 Gold Forward and Gold Lease Rates.. - 3.2 Volatility Surfaces for Precious Metals -- 3.2.1 Pips Spot Delta -- 3.2.2 Pips Forward Delta -- 3.2.3 Notation -- 3.2.4 Market Volatility Surfaces -- 3.2.5 At-the-Money -- 3.2.6 Strangles and Risk Reversals -- 3.2.7 Temporal Interpolation -- 3.3 Survey of the Precious Metals -- 3.3.1 Gold -- 3.3.2 Silver -- 3.3.3 Platinum -- 3.3.4 Palladium -- 3.3.5 Rhodium -- 4 Base Metals -- 4.1 Futures, Options and TAPO Contracts -- 4.1.1 Futures -- 4.1.2 Options -- 4.1.3 Traded Average Price Options -- 4.2 Commonly Traded Base Metals -- 4.2.1 Copper -- 4.2.2 Aluminium -- 4.2.3 Zinc -- 4.2.4 Nickel -- 4.2.5 Lead -- 4.2.6 Tin -- 5 Energy I - Crude Oil, Natural Gas and Coal -- 5.1 Crude Oil -- 5.1.1 WTI -- 5.1.2 Brent -- 5.1.3 Calibration of WTI Volatility Term Structure -- 5.1.4 Calibration of WTI Volatility Skew -- 5.1.5 Brent and Other Crude Markets -- 5.1.6 A Note on Correlation -- 5.2 Natural Gas -- 5.2.1 Deseasonalising Forward Curves -- 5.3 Coal -- 6 Energy II - Refined Products -- 6.1 The Refinery Basket -- 6.2 Gasoline -- 6.3 Heating Oil/Gas Oil -- 6.4 Petroleum Gases and Residual Fuel Oil -- 6.5 Seasonality and Volatility -- 6.6 Crack Spread Options -- 7 Power -- 7.1 Electricity Generation -- 7.2 Nonstorability and Decorrelation -- 7.2.1 Spot Markets -- 7.2.2 Futures and Forward Markets -- 7.2.3 Options Markets -- 7.3 Modelling Spikes in Electricity Markets -- 7.3.1 Reduced Form Models -- 7.3.2 Structural Models -- 7.4 Swing Options -- 7.5 Spark Spread Options -- 8 Agricultural Derivatives -- 8.1 Grains -- 8.1.1 Wheat -- 8.1.2 Corn -- 8.1.3 Rice -- 8.1.4 Oats -- 8.1.5 Barley -- 8.2 Oilseeds -- 8.2.1 Soybeans -- 8.2.2 Canola -- 8.3 Softs -- 8.3.1 Coffee -- 8.3.2 Cotton -- 8.3.3 Cocoa -- 8.3.4 Sugar -- 8.3.5 Orange Juice -- 8.3.6 Lumber -- 8.4 Pulp and Paper -- 8.5 Livestock -- 8.5.1 Feeder Cattle -- 8.5.2 Live Cattle -- 8.5.3 Lean Hogs.. - 8.5.4 Pork Bellies -- 8.5.5 Milk and Dairy -- 9 Alternative Commodities -- 9.1 Carbon Emissions Trading -- 9.2 Weather Derivatives -- 9.2.1 Temperature Derivatives -- 9.2.2 Windspeed Derivatives -- 9.2.3 Precipitation Derivatives -- 9.3 Bandwidth and Telecommunication Trading -- 9.4 Plastics -- 9.5 Freight Derivatives -- 9.5.1 Shipping -- 9.5.2 Pricing and the Baltic Freight Market -- 9.5.3 Forward Freight Agreements and Options -- Conversion Factors -- Futures Contract Symbols -- By month -- By commodity - metals -- By commodity - energy -- By commodity - grains and oilseeds -- By commodity - softs -- By commodity - livestock -- By commodity - emissions -- Glossary -- References -- Further Reading -- Index.. - Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author's industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. The book has been developed with input from traders and examples using real world data, together with relevant up to date academic research. The book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.
|
| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781444362404
|
| ISBN(galt) |
