Commodity Option Pricing : a Practitioner's Guide.

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Clark, Iain J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : Wiley, 2014.
©2014
Temas:
Commodity options.
Options (Finance) > Prices.
Options sur marchandises.
Options (Finances) > Prix.
Commodity options
Options (Finance) > Prices
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Commodity Option Pricing; Contents; Acknowledgements; Web page for this book; Notation; List of Figures; List of Tables; 1 Introduction; 1.1 Trade, Commerce and Commodities; 1.2 Adapting to Commodities as an Asset Class; 1.2.1 Classification of Commodities into Sub-categories; 1.3 Challenges in Commodity Models; 1.3.1 Futures; 1.3.2 Correlation; 1.3.3 Seasonality; 1.3.4 American and Asian Features; 2 Commodity Mathematics and Products; 2.1 Spot, Forwards and Futures; 2.1.1 Spot; 2.1.2 Forwards; 2.1.3 Futures; 2.2 The Black-Scholes and Black-76 Models; 2.2.1 The Black-Scholes Model.
  • 2.2.2 The Black-Scholes Model Without Convenience Yield2.2.3 The Black-Scholes Model With Convenience Yield; 2.2.4 The Black-76 Model; 2.2.5 Risk-Neutral Valuation; 2.2.6 Forwards; 2.2.7 The Black-Scholes Term Structure Model; 2.3 Forward and Futures Contracts; 2.3.1 Forwards; 2.3.2 Futures; 2.3.3 Case Study; 2.4 Commodity Swaps; 2.5 European Options; 2.5.1 European Options on Spot; 2.5.2 European Options on Futures; 2.5.3 Settlement Adjustments; 2.6 American Options; 2.6.1 Barone-Adesi and Whaley (1987); 2.6.2 Lattice Methods; 2.7 Asian Options.
  • 2.7.1 Geometric Asian Options
  • Continuous Averaging2.7.2 Arithmetic Asian Options
  • Continuous Averaging; 2.7.3 Geometric Average Options
  • Discrete Fixings
  • Kemna and Vorst (1990); 2.7.4 Arithmetic Average Options
  • Discrete Fixings
  • Turnbull and Wakeman (1991); 2.8 Commodity Swaptions; 2.9 Spread Options; 2.9.1 Margrabe Exchange Options; 2.9.2 The Kirk Approximation; 2.9.3 Calendar Spread Options; 2.9.4 Asian Spread Options; 2.10 More Advanced Models; 2.10.1 Mean Reverting Models; 2.10.2 Multi-Factor Models; 2.10.3 Convenience Yield Models; 3 Precious Metals.
  • 3.1 Gold Forward and Gold Lease Rates3.2 Volatility Surfaces for Precious Metals; 3.2.1 Pips Spot Delta; 3.2.2 Pips Forward Delta; 3.2.3 Notation; 3.2.4 Market Volatility Surfaces; 3.2.5 At-the-Money; 3.2.6 Strangles and Risk Reversals; 3.2.7 Temporal Interpolation; 3.3 Survey of the Precious Metals; 3.3.1 Gold; 3.3.2 Silver; 3.3.3 Platinum; 3.3.4 Palladium; 3.3.5 Rhodium; 4 Base Metals; 4.1 Futures, Options and TAPO Contracts; 4.1.1 Futures; 4.1.2 Options; 4.1.3 Traded Average Price Options; 4.2 Commonly Traded Base Metals; 4.2.1 Copper; 4.2.2 Aluminium; 4.2.3 Zinc; 4.2.4 Nickel; 4.2.5 Lead.
  • 4.2.6 Tin5 Energy I
  • Crude Oil, Natural Gas and Coal; 5.1 Crude Oil; 5.1.1 WTI; 5.1.2 Brent; 5.1.3 Calibration of WTI Volatility Term Structure; 5.1.4 Calibration of WTI Volatility Skew; 5.1.5 Brent and Other Crude Markets; 5.1.6 A Note on Correlation; 5.2 Natural Gas; 5.2.1 Deseasonalising Forward Curves; 5.3 Coal; 6 Energy II
  • Refined Products; 6.1 The Refinery Basket; 6.2 Gasoline; 6.3 Heating Oil/Gas Oil; 6.4 Petroleum Gases and Residual Fuel Oil; 6.5 Seasonality and Volatility; 6.6 Crack Spread Options; 7 Power; 7.1 Electricity Generation; 7.2 Nonstorability and Decorrelation.

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