Commodities. (2015)

• Record Type: Book
• Further Information: Note: Edited by M.A.H. Dempster, Ke Tang.
• Editors: Dempster, M. A. H (Michael Alan Howarth), 1938-; Tang, Ke
• Contents: SECTION I: OIL PRODUCTS; ; Inconvenience Yield, or the Theory of Normal Contango; Ilia Bouchouev; Determinants of Oil Futures Prices and Convenience Yields; M. A. H. Dempster, Elena Medova, and Ke Tang; Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model; Kenichiro Shiraya and Akihiko Takahashi; An Empirical Study of the Impact of Skewness and Kurtosis on Hedging Decisions; Jing-Yi Lai; Long-Term Spread Option Valuation and Hedging; M.A.H. Dempster, Elena Medova, and Ke Tang; Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging; Andrés García Mirantes, Javier Población and Gregorio Serna; Quantitative Spread Trading on Crude Oil and Refined Products Markets; Mark Cummins and Andrea Bucca; ; SECTION II: OTHER COMMODITIES; ; Inversion of Option Prices for Implied Risk-Neutral Probability Density Functions: General Theory and Its Applications to the Natural Gas Market; Yijun Du, Chen Wang, and Yibing Du; ; Investing in the Wine Market: A Country-Level Threshold Cointegration Approach; Lucia Baldi, Massimo Peri, and Daniela Vandone; ; Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?; Liyan Han, Rong Liang, and Ke Tang; ; The Structure of Gold and Silver Spread Returns; Jonathan A. Batten, Cetin Ciner, Brian M. Lucey, and Peter G. Szilagyi; ; Gold and the U.S. Dollar: Tales from the Turmoil; Paolo Zagaglia, Massimiliano, Marzo; ; A Flexible Model of Term-Structure Dynamics of Commodity Prices: A Comparative Analysis with a Two-Factor Gaussian Model; Hiroaki Suenaga; ; Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China; Lei Cui, Ke Huang, and H.J. Cai; ; SECTION III: COMMODITY PRICES AND FINANCIAL MARKETS; ; Short-Horizon Return Predictability and Oil Prices; Jaime Casassus and Freddy Higuera; ; Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts; Joseph McCarthy and Alexei G. Orlov; ; Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model; Elyas Elyasiani, Iqbal Mansur, and Babatunde Odusami; ; Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices; Michael Graham, Jarno Kiviaho, and Jussi Nikkinen; ; Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences; Carlos González-Pedraz, Manuel Moreno, and Juan Ignacio Peña; ; Strategic Commodity Allocation; Pierre Six; ; Long–Short Versus Long-Only Commodity Funds; John M. Mulvey; ; Commodity Markets Through the Business Cycle; Julien Chevallier, Mathieu Gatumel, and Florian Ielpo; ; The Dynamics of Commodity Prices; Chris Brooks and Marcel Prokopczuk; ; A Hybrid Commodity and Interest Rate Market Model; Kay F. Pilz and E. Schlögl; ; SECTION IV: ELECTRICITY MARKETS; ; Modelling the Distribution of Day-Ahead Electricity Returns: A Comparison; Alessandro Sapio; ; Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets; Eivind Helland, Timur Aka, and Eric Winnington; ; Modelling Spikes and Pricing Swing Options in Electricity Markets; Ben Hambly, Sam Howison, and Tino Kluge; ; Efficient Pricing of Swing Options in Lévy-Driven Models; Oleg Kudryavtsev and Antonino Zanette; ; Hedging Strategies for Energy Derivatives; Peter Leoni, Nele Vandaele, and Michèle Vanmaele; ; The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels; René Carmona, Michael Coulon, and Daniel Schwarz; ; Is the EUA a New Asset Class?; Vicente Medina and Angel Pardo; ; Index
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2015
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.644; Commodity futures; Commodity exchanges
• Languages: English
• ISBNs: 9781498712330
• Related ISBNs: 9781498712323
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.