e-book Commodity Option Pricing: A Practitioners Guide

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An Intro To Options On Futures

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Delivery not available. Pickup not available. About This Item We aim to show you accurate product information. Manufacturers, suppliers and others provide what you see here, and we have not verified it. See our disclaimer. Specifications Series Title Wiley Finance. Although this is a technical book, I have attempted to make it as accessible as possible on several levels.

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One barrier to making the transition into commodities is the necessary, and unavoidable, jargon, which I have tried to cut through for the benefit of the reader see the Glossary at the end of the book, for example. This I hope should set the avid reader on course to apply the theory from his or her studies to build the models and systems required to add real value to a commodities desk.


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Content has been developed using real-world data throughout and has been written in conjunction with both industry professionals and university lecturers in commodities. Once again, the preferred mathematical background for the derivatives elements of this book is a familiarity with option pricing at the level of Hull and, ideally, Baxter and Rennie There is necessarily some overlap with my previous FX book Clark, but this book is a standalone work and introduces the various commodity markets and develops the option pricing toolkit for commodity derivatives in a self-contained manner.

This book is not purely mathematical, however; it is important to have some familiarity with the physical aspect of the various commodities also, in order to develop intuition and to have credibility when talking with traders or in interviews. I have therefore attempted to relate the technical machinery back to the practical aspects throughout.

Producers, intermediaries and consumers are all exposed to risk. Additionally, some investors have been increasingly attracted towards speculative investment in some commodities due to the benefits of diversification and perceived underperformance in other asset classes. Finally, the durable physical aspect of some commodities especially the metals and energy may appeal to those who have lost money on purely financial investments during the collapse of the dot com equity bubble and the subprime financial crisis thereafter.

As well as trading the physical commodity itself, it is commonplace to trade financial contracts linked to commodities. Simple examples are futures contracts on oil and the base metals; more complicated are option contracts which provide the owner with the right but not the obligation to take profits on price moves in a particular direction.

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Commodity derivatives also allow participants in the financial markets to spread their risk exposure over the course of a calendar period, and to "lock-in" profits on a spread between the price of a refined product and an unrefined product. Hier findest du alle deine eBooks und viele praktische Lesefunktionen. Bewertung abgeben. Sofort per Download lieferbar.

http://airtec.gr/images/programa-para/948-aplicacion-android.php Commodity Option Pricing 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.


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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.