Recent Developments In Commodity Modeling

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Recent Developments In Commodity Modeling

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Author : Walter C. Labys
language : en
Publisher: World Bank Publications
Release Date : 1988

Recent Developments In Commodity Modeling written by Walter C. Labys and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Commercial products categories.

A review of the state of the art of Bank commodity modeling for forecasting and analysis of supplies, demand, and prices.

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

Modeling And Forecasting Primary Commodity Prices

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Author : Walter C. Labys
language : en
Publisher: Ashgate Publishing, Ltd.
Release Date : 2006

Modeling And Forecasting Primary Commodity Prices written by Walter C. Labys and has been published by Ashgate Publishing, Ltd. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.

This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis.

Financial Modelling In Commodity Markets

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Author : Viviana Fanelli
language : en
Publisher: CRC Press
Release Date : 2020-01-14

Financial Modelling In Commodity Markets written by Viviana Fanelli and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-14 with Business & Economics categories.

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. Key features: 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

Commodities Energy And Environmental Finance

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Author : René Aïd
language : en
Publisher: Springer
Release Date : 2015-06-30

Commodities Energy And Environmental Finance written by René Aïd and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-30 with Mathematics categories.

This volume is a collection of chapters covering the latest developments in applications of financial mathematics and statistics to topics in energy, commodity financial markets and environmental economics. The research presented is based on the presentations and discussions that took place during the Fields Institute Focus Program on Commodities, Energy and Environmental Finance in August 2013. The authors include applied mathematicians, economists and industry practitioners, providing for a multi-disciplinary spectrum of perspectives on the subject. The volume consists of four sections: Electricity Markets; Real Options; Trading in Commodity Markets; and Oligopolistic Models for Energy Production. Taken together, the chapters give a comprehensive summary of the current state of the art in quantitative analysis of commodities and energy finance. The topics covered include structural models of electricity markets, financialization of commodities, valuation of commodity real options, game-theory analysis of exhaustible resource management and analysis of commodity ETFs. The volume also includes two survey articles that provide a source for new researchers interested in getting into these topics.

Handbook Of Recent Advances In Commodity And Financial Modeling

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Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2017-09-30

Handbook Of Recent Advances In Commodity And Financial Modeling written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-30 with Business & Economics categories.

This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts, emphasizing common methodological approaches arising in the areas of interest: - Part I: Optimization techniques - Part II: Pricing and Valuation - Part III: Risk Modeling The book presents to a wide community of Academics and Practitioners a selection of theoretical and applied contributions on topics that have recently attracted increasing interest in commodity and financial markets. Within a structure based on the three parts, it presents recent state-of-the-art and original works related to: - The adoption of multi-criteria and dynamic optimization approaches in financial and insurance markets in presence of market stress and growing systemic risk; - Decision paradigms, based on behavioral finance or factor-based, or more classical stochastic optimization techniques, applied to portfolio selection problems including new asset classes such as alternative investments; - Risk measurement methodologies, including model risk assessment, recently applied to energy spot and future markets and new risk measures recently proposed to evaluate risk-reward trade-offs in global financial and commodity markets; and derivatives portfolio hedging and pricing methods recently put forward in the financial community in the aftermath of the global financial crisis.

Recent Developments In Transport Modelling

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Author : Moshe E. Ben-Akiva
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-10-01

Recent Developments In Transport Modelling written by Moshe E. Ben-Akiva and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-01 with Transportation categories.

Discusses Professor Marvin L Manheim's contributions to transportation. This book presents his vision for the role of ICTs in transport. It covers topics including predictions of production to consumption freight flows through the use of multi regional input-output models, and choice analysis using freight market research surveys.

Handbook Of Multi Commodity Markets And Products

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Author : Andrea Roncoroni
language : en
Publisher: John Wiley & Sons
Release Date : 2015-04-27

Handbook Of Multi Commodity Markets And Products written by Andrea Roncoroni 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 2015-04-27 with Business & Economics categories.

Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.

Commodity Models For Forecasting And Policy Analysis

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Author : Walter C. Labys
language : en
Publisher: Taylor & Francis
Release Date : 2024-02-01

Commodity Models For Forecasting And Policy Analysis written by Walter C. Labys and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-02-01 with Business & Economics categories.

Originally published in 1984 this book remains as relevant as when it was first published. At that time the oil crises of the 1970s and the growing international debt burden highlighted the extent to which events in primary commodity markets continue to influence the economies of developing and industrialized economies alike. Commodity modelling has become a valuable tool in efforts to predict and understand the behaviour of commodity markets and thereby reduce their fluctuations. This book provides an overview of the nature of the different types of commodity model as well as their diverse applications. In non-technical language the reader is introduced to the underlying modelling methodologies, including their advantages, limitations and commodity specific implications. The book will be of interest to commodity economists, traders and analysts, economic planners and those involved in agricultural, mineral and energy modelling.

Energy Pricing Models

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Author : Marcel Prokopczuk
language : en
Publisher: Palgrave Macmillan
Release Date : 2014-12-18

Energy Pricing Models written by Marcel Prokopczuk and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-18 with Business & Economics categories.

Following the liberalization of global energy markets, the world has witnessed a substantial growth in energy commodity trading. Moreover, prices and volatilities have significantly increased, partly due to geopolitical crises, but mostly resulting from increased participation of financial investors. Such newfound interest in energy markets has spawned greater demand for state-of-the-art models and methods necessary to understand the challenges related to trading and risk management. Energy Pricing Models showcases original cutting-edge research to best illustrate the latest advances and future implications of trading in energy markets. Prokopczuk assembles an all-star team of leading academics and practitioners in order to provide a well-balanced analysis of the topic. This work is required reading for market practitioners wishing to gain greater insight into the field, as well as academics and researchers interested in learning more about the latest developments from an applied perspective.