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Commodity Option Pricing - A Practitioner's Guide (Hardcover)
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Commodity Option Pricing - A Practitioner's Guide (Hardcover)
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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.
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