Commodity Option Pricing
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Commodity Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2014-03-05
Commodity Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-05 with Business & Economics categories.
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. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This 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.
Commodities And Commodity Derivatives
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Author : Helyette Geman
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-24
Commodities And Commodity Derivatives written by Helyette Geman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-24 with Business & Economics categories.
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Commodity Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2014-04-21
Commodity Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-04-21 with Business & Economics categories.
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. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This 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.
The Complete Guide To Option Pricing Formulas
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Author : Espen Gaarder Haug
language : en
Publisher: McGraw Hill Professional
Release Date : 1998
The Complete Guide To Option Pricing Formulas written by Espen Gaarder Haug and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Business & Economics categories.
Acts as a reference manual on options pricing formulas. This work, containing numerical examples and explanations, is a useful supplement for anyone working with financial options. It offers formulas used by some of the best talent on Wall Street, and is useful for professional options traders and institutional money managers.
Foreign Exchange Option Pricing
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Author : Iain J. Clark
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-18
Foreign Exchange Option Pricing written by Iain J. Clark and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-18 with Business & Economics categories.
This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.
Trading Commodity Options With Creativity When Why And How To Develop Strategies To Improve The Odds In Any Market Environment And Risk Reward Pr
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Author : Carley Garner
language : en
Publisher:
Release Date : 2020-07-24
Trading Commodity Options With Creativity When Why And How To Develop Strategies To Improve The Odds In Any Market Environment And Risk Reward Pr written by Carley Garner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-24 with Business & Economics categories.
Option Market Making
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Author : Allen Jan Baird
language : en
Publisher: John Wiley & Sons
Release Date : 1992-11-11
Option Market Making written by Allen Jan Baird and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-11-11 with Business & Economics categories.
Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option volatility and pricing, risk analysis, spreads, strategies and tactics for the options trader, focusing on how to work successfully with market makers. Features a special section on synthetic options and the role of synthetic options market making (a role of increasing importance on the trading floor). Contains numerous graphs, charts and tables.
Pricing Options With Futures Style Margining
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Author : A. Jay White
language : en
Publisher: Taylor & Francis
Release Date : 2000
Pricing Options With Futures Style Margining written by A. Jay White and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Business & Economics categories.
First Published in 2000. Routledge is an imprint of Taylor & Francis, an informa company.
Option Trading
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Author : Euan Sinclair
language : en
Publisher: John Wiley & Sons
Release Date : 2010-06-16
Option Trading written by Euan Sinclair and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-16 with Business & Economics categories.
An A to Z options trading guide for the new millennium and the new economy Written by professional trader and quantitative analyst Euan Sinclair, Option Trading is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques. This comprehensive guide presents the detail and practical information that professional option traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement and forecasting, and specific option strategies. Explains how to break down a typical position, and repair positions Other titles by Sinclair: Volatility Trading Addresses the various concerns of the professional options trader Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.
Empirical Derivative Pricing With Lme Industrial Metal Data
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Author : Christian Stepanek
language : en
Publisher: Cuvillier Verlag
Release Date : 2015-08-27
Empirical Derivative Pricing With Lme Industrial Metal Data written by Christian Stepanek and has been published by Cuvillier Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-27 with Business & Economics categories.
This thesis is focused on empirical examinations of commodity derivatives. Commodity futures and options are very important for companies in hedging their commodity price risks. Financial institutions participate also in commodity derivative markets either to gain exposure to commodity prices, diversify their portfolios, or hedge commodity price risk from financial transactions. But also retail investors have been more and more interested in commodity investments for some years. Because of their limited access to commodity markets, they have to rely on special commodity SFPs issued by banks. However, in contrast to derivatives with standard underlyings, such as stocks or bonds, there are various specific aspects to commodity derivatives. Especially interesting from academic as well as practitioners’ point of view are the pricing relations between spot and derivative prices, which are closely linked to market fundamentals. But also from the financialization of commodity markets arise several subjects which require scientific examination. I identify in this thesis several unresolved research questions on commodity futures, options, and SFPs. This way it is possible to offer insights in derivative markets for industrial companies, financial institutions, and retail investors alike.