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Commodity Option Pricing: A Practitioner's Guide (The Wiley Finance Series)...

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Commodity Option Pricing: A Practitioner's Guide (The Wiley Finance Series)...

  • $95.28


Commodity Option Pricing: A Practitioner's Guide (The Wiley Finance Series) 1st Edition



Product Details

  • Series: The Wiley Finance Series
  • Hardcover: 342 pages
  • Publisher: Wiley; 1 edition (April 21, 2014)
  • Language: English
  • ISBN-13: 978-1119944515
  • Product Dimensions: 6.4 x 1 x 9.2 inches
  • Shipping Weight: 1.4 pounds

Commodity Option Pricing: A Practitioner’s Guidecovers commodity option pricing for quantitative analysts, tradersor structurers in banks, hedge funds and commodity tradingcompanies.

Based on the author’s industry experience with commodityderivatives, this book provides a thorough and mathematicalintroduction to the various market conventions and models used incommodity option pricing. It introduces the various derivativeproducts typically traded for commodities and describes how thesemodels can be calibrated and used for pricing and risk management.The book has been developed with input from traders and examplesusing real world data, together with relevant up to date academicresearch.

The book includes practical descriptions of market conventionsand quote codes used in commodity markets alongside typicalproducts seen in broker quotes and used in calibration. Alsodiscussed are commodity models and their mathematical derivationand volatility surface modelling for traded commodity derivatives.Gold, silver and other precious metals are addressed, includinggold forward and gold lease rates, as well as copper, aluminium andother base metals, crude oil and natural gas, refined energy andelectricity. There are also sections on the products encountered incommodities such as crack spread and spark spread options andalternative commodities such as carbon emissions, weatherderivatives, bandwidth and telecommunications trading, plastics andfreight.

Commodity Option Pricing is ideal for anyone working incommodities or aiming to make the transition into the area, as wellas academics needing to familiarize themselves with the industryconventions of the commodity markets.


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