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Bringing together some of the leading authors in their fields, this book focuses on the risk management issues associated with both soft and hard commodities such as energy, weather, agriculturals, metals and shipping. Taking the reader through the various aspects of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also addresses the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. The implications of climate policy in different continents; the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world are also presented and explained.
It will be valuable reading for energy and mining companies corporates, utilities' practitioners, commodity and cash derivatives traders in investment banks, CTA's and hedge funds managers alike.
Bringing together some of the leading authors in their fields, this book focuses on the risk management issues associated with both soft and hard commodities such as energy, weather, agriculturals, metals and shipping. Taking the reader through the various aspects of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also addresses the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets. The implications of climate policy in different continents; the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world are also presented and explained.
It will be valuable reading for energy and mining companies corporates, utilities' practitioners, commodity and cash derivatives traders in investment banks, CTA's and hedge funds managers alike.
Professor Geman has been a scientific advisor to major financial institutions and energy and mining companies for the last 18 years, covering the spectrum of interest rates, catastrophic risk, oil, natural gas, electricity and metals. She was previously the head of Research and Development at Caisse des Dépôts. Professor Geman was the first president of the Bachelier Finance Society and has published more than 95 papers in top international finance Journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance. She is a Member of Honour of the French Society of Actuaries. Professor Geman's research includes interest rates and catastrophic insurance, asset price and commodity forward curve modelling, hedge funds and alternative investments, as well as exotic option pricing for which she won the first prize of the Merrill Lynch Awards in 1994. Her work on catastrophic options and CAT bonds and book Insurance and Weather Derivatives (1998) received the AFIR (actuarial approach to financial risk) prize. Prof Geman was named in 2004 in the Hall of Fame of Energy Risk and received in July 2008 the ISA medal for Sciences of the Alma Mater University of Bologna for the CGMY model, a pure jump Levy process widely used in finance since 2002.
Her reference book Commodities and Commodity Derivatives was published by Wiley Finance in January 2005. Professor Geman is a Member of the Board of the UBS-Bloomberger Commodity Index.
About the Editor.
About the Contributors.
1. Structural Models of Commodity Prices (Craig Pirrong).
2. Forward Curve Modelling in Commodity Markets (Svetlana Borovkova, Universiteit Amsterdam, and Helyette Geman).
3. Integrating Physical and Financial Risk Management in Supply.
Management (Paul R. Kleindorfer).
4. The Design of New Derivative Markets (Giovanni Barone-Adesi).
5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model (Wolfgang Bühler, University of Mannheim, and Jens Müller-Merbach).
6. Measuring Correlation Risk for Energy Derivatives (Roza Galeeva, Jiri Hoogland and Alexander Eydeland).
7. Precaution and a Dismal Theorem: Implications for Climate Policy.
and Climate Research (Gary W. Yohe, Wesleyan University and Richard S. J. Tol).
8. Incentives for Investing in Renewables (Falbo Paolo, Felletti Daniele and Stefani Silvana).
9. Hedging the Risk of an Energy Futures Portfolio (Carol Alexander).
10. Spark Spread Options when Commodity Prices are Represented as Time Changed Processes (Elisa Luciano).
11. Freight Derivatives and Risk Management: A Review (Manolis G. Kavussanos and Ilias D. Visvikis).
12. Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping (H. Geman and S. Ohana).
13. Managing Agricultural Price Risk in Developing Countries (Julie Dana and Christopher L. Gilbert).
14. Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities (George A. Martin and Richard Spurgin).
15. Case Studies and Risk Management in Commodity Derivatives Trading (Hilary Till).
Index.
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 320 |
| Inhalt: | 320 S. |
| ISBN-13: | 9780470694251 |
| ISBN-10: | 0470694254 |
| Sprache: | Englisch |
| Herstellernummer: | 14569425000 |
| Einband: | Gebunden |
| Autor: | Geman, Helyette |
| Redaktion: | Geman, Helyette |
| Herausgeber: | Helyette Geman |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 253 x 178 x 28 mm |
| Von/Mit: | Helyette Geman |
| Erscheinungsdatum: | 20.01.2009 |
| Gewicht: | 0,697 kg |
Professor Geman has been a scientific advisor to major financial institutions and energy and mining companies for the last 18 years, covering the spectrum of interest rates, catastrophic risk, oil, natural gas, electricity and metals. She was previously the head of Research and Development at Caisse des Dépôts. Professor Geman was the first president of the Bachelier Finance Society and has published more than 95 papers in top international finance Journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance. She is a Member of Honour of the French Society of Actuaries. Professor Geman's research includes interest rates and catastrophic insurance, asset price and commodity forward curve modelling, hedge funds and alternative investments, as well as exotic option pricing for which she won the first prize of the Merrill Lynch Awards in 1994. Her work on catastrophic options and CAT bonds and book Insurance and Weather Derivatives (1998) received the AFIR (actuarial approach to financial risk) prize. Prof Geman was named in 2004 in the Hall of Fame of Energy Risk and received in July 2008 the ISA medal for Sciences of the Alma Mater University of Bologna for the CGMY model, a pure jump Levy process widely used in finance since 2002.
Her reference book Commodities and Commodity Derivatives was published by Wiley Finance in January 2005. Professor Geman is a Member of the Board of the UBS-Bloomberger Commodity Index.
About the Editor.
About the Contributors.
1. Structural Models of Commodity Prices (Craig Pirrong).
2. Forward Curve Modelling in Commodity Markets (Svetlana Borovkova, Universiteit Amsterdam, and Helyette Geman).
3. Integrating Physical and Financial Risk Management in Supply.
Management (Paul R. Kleindorfer).
4. The Design of New Derivative Markets (Giovanni Barone-Adesi).
5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model (Wolfgang Bühler, University of Mannheim, and Jens Müller-Merbach).
6. Measuring Correlation Risk for Energy Derivatives (Roza Galeeva, Jiri Hoogland and Alexander Eydeland).
7. Precaution and a Dismal Theorem: Implications for Climate Policy.
and Climate Research (Gary W. Yohe, Wesleyan University and Richard S. J. Tol).
8. Incentives for Investing in Renewables (Falbo Paolo, Felletti Daniele and Stefani Silvana).
9. Hedging the Risk of an Energy Futures Portfolio (Carol Alexander).
10. Spark Spread Options when Commodity Prices are Represented as Time Changed Processes (Elisa Luciano).
11. Freight Derivatives and Risk Management: A Review (Manolis G. Kavussanos and Ilias D. Visvikis).
12. Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping (H. Geman and S. Ohana).
13. Managing Agricultural Price Risk in Developing Countries (Julie Dana and Christopher L. Gilbert).
14. Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities (George A. Martin and Richard Spurgin).
15. Case Studies and Risk Management in Commodity Derivatives Trading (Hilary Till).
Index.
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Seiten: | 320 |
| Inhalt: | 320 S. |
| ISBN-13: | 9780470694251 |
| ISBN-10: | 0470694254 |
| Sprache: | Englisch |
| Herstellernummer: | 14569425000 |
| Einband: | Gebunden |
| Autor: | Geman, Helyette |
| Redaktion: | Geman, Helyette |
| Herausgeber: | Helyette Geman |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 253 x 178 x 28 mm |
| Von/Mit: | Helyette Geman |
| Erscheinungsdatum: | 20.01.2009 |
| Gewicht: | 0,697 kg |
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