Financial Modelling in Commodity Markets Chapman and Hall/CRC Financial Mathematics Series
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
1. Commodity-linked Products. 2. Spot Price Modelling. 3. Forward Price Modelling. 4. Derivative Valuation. 5. Applications. 6. Essential Statistics and Data Analysis. Bibliography. Index.
Viviana Fanelli is Associate Professor of Mathematical Methods of Economics, Actuarial Science and Finance at the University of Bari Aldo Moro in Italy. She has also been an advisor at Mantho Solutions Ltd., London, where she focused on mathematical modelling and quantitative analysis. She has been appointed as course leader on financial risk management at a GARP-ERP Certification Program and as lecturer in energy finance at MIP - Polytechnic of Milan. Her research interests cover commodity finance, asset pricing, arbitrage strategies, dynamic models, interest rate and credit risk modelling. She regularly publishes in academic journals, including Quantitative Finance, European Journal of Operational Research, Applied Energy and Nonlinear Analysis RWA. Viviana holds a PhD in mathematical methods for financial and economic decisions.
Date de parution : 12-2019
15.6x23.4 cm
Disponible chez l'éditeur (délai d'approvisionnement : 14 jours).
Prix indicatif 160,25 €
Ajouter au panierDate de parution : 12-2019
15.6x23.4 cm
Disponible chez l'éditeur (délai d'approvisionnement : 14 jours).
Prix indicatif 56,31 €
Ajouter au panierThèmes de Financial Modelling in Commodity Markets :
Mots-clés :
WTI Future; OLS Regression; forward contracts; Asian Call Option; commodity spreads; Cumulative Distribution Function; spot price; Log Spot Price; jump-diffusion models; Spot Price Modelling; derivative valuation; Convenience Yield; arbitrage strategies; Risk Neutral Probability Measure; Spot Price Return; Risk Neutral Distribution; Forward Price; Strike Price; Geometric Brownian Motion; WTI Crude Oil; Partial Autocorrelation Function; Electricity Spot Price; European Call Option; European Call Option Price; Risk Neutral Measure; Martingale Measure; Volatility Function; Forward Contract; Replication Portfolio; Risk Neutral Valuation Formula