Risk management in commodity markets from shipping to agriculturals and energy
Commodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve. Bringing together some of the best authors in the...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, West Sussex, England ; Hoboken, NJ :
Wiley
c2008.
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| Edición: | 1st edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627333106719 |
Tabla de Contenidos:
- Risk Management in Commodity Markets; Contents; Preface; About the Editor; About the Contributors; 1 Structural Models of Commodity Prices; 1.1 Introduction; 1.2 A Commodity Taxonomy; 1.3 Fundamental Models for Storable Commodities; 1.4 Non-Storable Commodities; 1.5 Summary; 1.6 References; 2 Forward Curve Modelling in Commodity Markets; 2.1 Introduction; 2.2 Forward Curve Models for Non-Seasonal Commodities; 2.3 The Seasonal Forward Curve Model and its Extensions; 2.4 Principal Component Analysis of a Forward Curve; 2.5 Forward Curve Indicators; 2.6 Conclusions; 2.7 References
- 3 Integrating Physical and Financial Risk Management in Supply Management 3.1 Introduction; 3.2 A Primer On Previous Supply Management Contracting Literature; 3.3 A Modelling Framework and a Simple Illustrative Case; 3.4 Recent Contributions to the Optimal Contracting Literature; 3.5 Some Open Research Questions and Implications for Practice; 3.6 References; 4 The Design of New Derivative Markets; 4.1 Introduction; 4.2 Determinants of Success of New Derivative Markets; 4.3 Price Discovery; 4.4 Trading, Clearing, and Margining; 4.5 Market Integrity; 4.6 Market Recovery; 4.7 Market Oversight
- 4.8 Case Studies 4.9 Conclusion; 4.10 References; 5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model; 5.1 Introduction; 5.2 The Dynamic Equilibrium Model; 5.3 Comparative Statics; 5.4 Empirical Study; 5.5 Conclusion; 5.6 References; 6 Measuring Correlation Risk for Energy Derivatives; 6.1 Introduction; 6.2 Correlation; 6.3 Perturbing the Correlation Matrix; 6.4 Correlation VaR; 6.5 Some Examples; 6.6 Discussion and Conclusions; 6.7 References; 7 Precaution and a Dismal Theorem: Implications for Climate Policy and Climate Research; 7.1 Introduction
- 7.2 A New Source of Concern: Weitzman's Dismal Theorem 7.3 Implications of the "Dismal Theorem"; 7.4 Some Concluding Remarks; 7.5 References; 8 Incentives for Investing in Renewables; 8.1 Introduction and Background; 8.2 Subsidies for Energy; 8.3 The Model; 8.4 Statistical Estimations; 8.5 Risk Analysis; 8.6 Conclusions; 8.7 References; 9 Hedging the Risk of an Energy Futures Portfolio; 9.1 Mapping Portfolios to Constant Maturity Futures; 9.2 The Portfolio and its Key Risk Factors; 9.3 Identifying the Key Risk Factors; 9.4 Hedging the Portfolio Risk; 9.5 Conclusions; 9.6 References
- 10 Spark Spread Options when Commodity Prices are Represented as Time Changed Processes 10.1 Spark Spread Options; 10.2 Time Change in a Nutshell; 10.3 Time Change and Commodity Prices; 10.4 An Application to PJM Electricity and NYMEX Natural Gas; 10.5 Conclusions and Further Research; 10.6 Appendix A: Modelling Specification in the Multivariate Case; 10.7 Appendix B: Alternative Modelling Specifications in the Univariate Case; 10.8 References; 11 Freight Derivatives and Risk Management: A Review; 11.1 Introduction; 11.2 Forward Freight Agreements; 11.3 Freight Futures
- 11.4 "Hybrid" (Cleared) FFAs
