Chapman and Hall/CRC
116 pages | 106 B/W Illus.
Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets.
The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks.
"A concise survey of arbitrage pricing models for commodities, this book may serve as an introduction to the subject and a textbook for a course on commodity price modeling with an eye toward implementation."
—Professor Andrea Roncoroni, ESSEC Business School
Chapter 1: Commodity-linked Products
Chapter 2: Spot Price Modelling
Chapter 3: Forward Price Modelling
Chapter 4: Derivative Valuation
Chapter 5: Applications
Chapter 6: Essential Statistics and Data Analysis