Financial Modelling in Commodity Markets
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.
- Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data
- Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners
- Illustrates some important pricing models using real data sets that will be commonly used in financial markets
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
"This 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 for pricing and trading commodity-linked products and managing basic and complex portfolio risks. As a brief investigation of arbitrage price models for commodities, the book can be seen as an introductory book and a commodity price modeling textbook. The book brings together classical notions on commodities and related financial models. The models are presented in a clear fashion with suggested practical applications.
Financial Modeling of Commodity Markets introduces stochastic modeling and practical implementation of models and techniques. There are assignments at the end of each chapter, which is a useful pedagogical tool. This should be valuable for many students in financial modeling.
A nice feature of the book is that it provides a step-by-step guide to the construction of pricing models and the applications of such models to analyze real data. It is written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering, statistics, and practitioners. It illustrates some important pricing models using real data sets that are commonly used in the financial markets."
—Stein Frydenberg, Quantitative Finance Journal
"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
"This book represents a valuable synthesis of the most relevant classical concepts on commodity markets and of the related financial models. The theoretical arguments are presented in a clear and rigorous way, and a great effort is spent on proposing paradigmatic applications. A very informative methodological appendix assists the reader in grasping a great part of the computational details. I am strongly convinced that this work can effectively act as a textbook for high-level students as well as handbook for scholars."
—Professor Roy Cerqueti, Università degli Studi di Macerata
"Financial Modelling in Commodity Markets provides an accessible and clear introduction to important stochastic models for finance, with a special focus on energy markets. Different from competing textbooks, a particular emphasis is placed on the practical implementation of different models and techniques. The exercises at the end of each chapter represent a useful pedagogical tool. This book will be a valuable addition to the library of every graduate student and practitioner in the field."
—Professor Claudio Fontana, University of Padova