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Book

Commodities

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
DOI https://doi.org/10.1201/b19020
Pages 737
eBook ISBN 9780429075940
Subjects Economics, Finance, Business & Industry, Mathematics & Statistics
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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 1|6 pages

- Inconvenience Yield, or the Theory of Normal Contango

ByIlia Bouchouev

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 20|26 pages

- Strategic Commodity Allocation

ByPierre Six

chapter 21|10 pages

- Long–Short Versus Long-Only Commodity Funds

ByJohn M. Mulvey

chapter 22|32 pages

- Commodity Markets through the Business Cycle

ByJulien Chevallier, Mathieu Gatumel, Florian Ielpo

chapter 23|22 pages

- The Dynamics of Commodity Prices

ByChris Brooks, Marcel Prokopczuk

chapter 24|26 pages

- A Hybrid Commodity and Interest Rate Market Model

ByKay F. Pilz, Erik Schlögl

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

chapter 31|22 pages

- Is the EUA a New Asset Class?

ByVicente Medina, Angel Pardo
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