Commodities : fundamental theory of futures, forwards, and derivatives pricing /: fundamental theory of futures, forwards, and derivatives pricing. (2022)

• Record Type: Book
• Further Information: Note: Edited by M.A.H. Dempster, Ke Tang.
• Editors: Dempster, M. A. H (Michael Alan Howarth), 1938-; (Professor of economics), Tang, Ke
• Contents: Section I. Oil Products Chapter 1. The Volatility Risk Premium in the Oil Market; I. Bouchouev and Brett Johnson Chapter 2. Determinants of Oil Futures Prices and Convenience Yields; M.A.H. Dempster, Elena Medova and Ke Tang; ; Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model; Kenichiro Shiraya and Akihiko Takahashi; ; Chapter 4 Planning Logistics Operations in the Oil Industry; M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging; Andrés Garcia Mirantes, Javier Poblacion and Gregorio Serna; ; Chapter 6. Long-Term Spread Option Valuation and Hedging; M.A.H. Dempster, Elena Medova and Ke Tang Section II. Other Commodities Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices; Mikkel Bennedsen Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration Approach; Lucia Baldi, Massimo Peri and Daniela Vandone ; ; Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?; Liyan Han, Rong Liang and Ke Tang Chapter 10. The Structure of Gold and Silver Spread Returns; Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi Chapter 11. Gold and the US dollar: Tales from the Turmoil; Paolo Zagaglia and Massimiliano Marzo Chapter 12. 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 Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk; Fred E. Benth, Troels S. Christensen and Victor Rohde Section III. Commodity Prices and Markets Chapter 14. Short-Horizon Return Predictability and Oil Prices; Jaime Casassus and Freddy Higuera; ; Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts; Joseph McCarthy and Alexei G. Orlov Chapter 16 Sectoral Stock R eturn Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model; Elyas Elyasiani, Iqbal Mansur and Babatunde. Odusami Chapter 17 Long-Short Versus Long-Only Commodity Funds; John M. Mulvey Chapter 18. The Dynamics of Commodity Prices; Chris Brooks and Marcel Prokopczuk; ; Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices; Michael Graham, Jarno Kiviaho and Jussi Nikkinen Chapter 20. Commodity Markets through the Business Cycle; Julien Chevallier, Mathieu Gatumel and Florian Ielpo Chapter 21. A Hybrid Commodity and Interest Rate Market Model; Kay F. Pilx and Erik SchlögI Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least-­Squares Monte Carlo Methods on Graphics Processing Units; W. Dong and B. Kang Section IV. Electricity Markets Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison; Sandro Sapio Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets; Elvind Helland, Timur Aka and Eric Winnington Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets; Ben Hambly, Sam Howison and Tino Kluge Chapter 26. Efficient Pricing of Swing Options in Levy-Driven Models; Oleg Kudryavtsev and Antonino Zanette Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels; René Carmona, Michael Coulon and Daniel Schwartz Chapter 28. Is EUA a New Asset Class?; Vicente Medina and Angel Pardo Section V. Contemporary Topics Chapter 29. Volatility Is Rough; Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model; Frédéric Abérgél, Côme Huré and Huyên Pham Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money?; Viktor Manahov Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach; Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao Chapter 33. Classification of Flash Crashes Using the Hawkes (p, q) Framework; Alexander Wehrli and Didier Sornette
• Edition: Second edition
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2022
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.644; Commodity futures; Commodity exchanges
• Languages: English
• ISBNs: 9781000784077; 9781000784046
• Related ISBNs: 9781032208176
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource 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.