Commodities and commodity derivatives : modelling and pricing for agriculturals, metals, and energy /
By: Geman, Hélyette
Material type: BookPublisher: West Sussex : John Wiley & Sons, c2005.Description: xvii, 396 p. : ill ; 25 cm.ISBN: 0470012188 (cloth : alk. paper)Program: FIN956Subject(s): Commodity futuresDDC classification: 332.63/28 Online resources: Location MapItem type | Home library | Call number | Status | Date due | Barcode | Item holds |
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REGULAR | University of Wollongong in Dubai Main Collection | 332.6328 GE CO (Browse shelf) | Available | T0037223 | ||
REGULAR | University of Wollongong in Dubai Main Collection | 332.6328 GE CO (Browse shelf) | Available | T0037224 |
, Shelving location: Main Collection Close shelf browser
332.6327 MC GR Grow your investments with the best mutual funds and ETFs : | 332.6327 SE SO So you want to start a hedge fund : | 332.6328 GA TR A trader's first book on commodities : | 332.6328 GE CO Commodities and commodity derivatives : | 332.6328 GE CO Commodities and commodity derivatives : | 332.6328 MA GU Guide to investing in gold & silver : | 332.6328 RI NE The new case for gold |
Includes bibliographical references and index.
Fundamentals of commodity spot and futures markets -- Equilibrium relationships between spot prices and forward prices -- Stochastic modelling of commodity price processes -- Plain-vanilla option pricing and hedging -- Risk-neutral valuation of plain-vanilla options -- Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options -- Agricultural commodity markets -- The structure of metal markets and metal prices -- The oil market as a world market -- The gas market as the energy market of the next decades -- Spot and forward electricity markets -- Commodity swaptions, swing, and take-or-pay contracts and real options -- In the energy industry -- Coal, emissions, and weather -- Commodities as a new asset class.
FIN956