Breadcrumbs Section. Click here to navigate to respective pages.
Book

Book
Commodities
DOI link for Commodities
Commodities book
Commodities
DOI link for Commodities
Commodities book
Edited ByM. A. H. Dempster, Ke Tang
Edition 1st Edition
First Published 2015
eBook Published 4 November 2015
Pub. Location New York
Imprint Chapman and Hall/CRC
Pages 737
eBook ISBN 9780429075940
Subjects Economics, Finance, Business & Industry, Mathematics & Statistics
Share
Get Citation
Dempster, M.A.H., & Tang, K. (Eds.). (2015). Commodities (1st ed.). Chapman and Hall/CRC. https://doi.org/10.1201/b19020
ABSTRACT
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
TABLE OF CONTENTS
part |2 pages
SECTION I - Oil Products
chapter 2|22 pages
- Determinants of Oil Futures Prices and Convenience Yields
ByM. A. H. Dempster, Elena Medova, Ke Tang
chapter 3|22 pages
- Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model
ByKenichiro Shiraya, Akihiko Takahashi
chapter 4|18 pages
- An Empirical Study of the Impact of Skewness and Kurtosis on Hedging Decisions
ByJing-Yi Lai
chapter 5|24 pages
- Long-Term Spread Option Valuation and Hedging
ByM.A.H. Dempster, Elena Medova, and Ke Tang
chapter 6|24 pages
- Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging
ByAndrés García Mirantes, Javier Población, Gregorio Serna
chapter 7|30 pages
Quantitative Spread Trading on Crude Oil and Rened Products Markets
ByMark Cummins, Andrea Bucca
part |2 pages
SECTION II - Other Commodities
chapter 8|22 pages
- Inversion of Option Prices for Implied Risk-Neutral Probability Density Functions: General Theory and Its Applications to the Natural Gas Market
ByYijun Du, Chen Wang, Yibing Du
chapter 9|18 pages
- Investing in the Wine Market: A Country-Level Threshold Cointegration Approach
ByLucia Baldi, Massimo Peri, Daniela Vandone
chapter 10|22 pages
- Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?
ByLiyan Han, Rong Liang, Ke Tang
chapter 11|14 pages
- The Structure of Gold and Silver Spread Returns
ByJonathan A. Batten, Cetin Ciner, Brian M. Lucey, Peter G. Szilagyi
chapter 12|16 pages
- Gold and the U.S. Dollar: Tales from the Turmoil
ByPaolo Zagaglia, Massimiliano Marzo
chapter 13|36 pages
- A Flexible Model of Term-Structure Dynamics of Commodity Prices: A Comparative Analysis with a Two-Factor Gaussian Model
ByHiroaki Suenaga
chapter 14|20 pages
- Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China
ByLei Cui, Ke Huang, and H.J. Cai
part |2 pages
SECTION III - Commodity Prices and Financial Markets
chapter 15|36 pages
- Short-Horizon Return Predictability and Oil Prices
ByJaime Casassus, Freddy Higuera
chapter 16|22 pages
- Time-frequency Analysis of Crude Oil and S&P 500 Futures Contracts
ByJoseph McCarthy, Alexei G. Orlov
chapter 17|28 pages
Sectoral Stock Return Sensitivity to Oil Price Changes: A Double- Threshold FIGARCH Model
ByElyas Elyasiani, Iqbal Mansur, Babatunde Odusami
chapter 18|16 pages
- Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices
ByMichael Graham, Jarno Kiviaho, Jussi Nikkinen
chapter 19|30 pages
- Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences
ByCarlos González-Pedraz, Manuel Moreno, Juan Ignacio Peña
chapter 22|32 pages
- Commodity Markets through the Business Cycle
ByJulien Chevallier, Mathieu Gatumel, Florian Ielpo
part |2 pages
SECTION IV - Electricity Markets
chapter 25|20 pages
- Modelling the Distribution of Day-Ahead Electricity Returns: A Comparison
ByAlessandro Sapio
chapter 26|14 pages
- Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets
ByEivind Helland, Timur Aka, Eric Winnington
chapter 27|22 pages
- Modelling Spikes and Pricing Swing Options in Electricity Markets
ByBen Hambly, Sam Howison, Tino Kluge
chapter 28|16 pages
- Efficient Pricing of Swing Options in Lévy-Driven Models
ByOleg Kudryavtsev, Antonino Zanette
chapter 29|22 pages
- Hedging Strategies for Energy Derivatives
ByPeter Leoni, Nele Vandaele, Michèle Vanmaele
chapter 30|22 pages
- The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
ByRené Carmona, Michael Coulon, Daniel Schwarz