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. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets.
After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments.
- Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil
- Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals
- Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds
- Electricity Markets supplies an overview of the current and future modelling of electricity markets
- Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes
TABLE OF CONTENTS
part Section 1|146 pages
Oil Products
chapter 5|24 pages
Analysing the Dynamics of the Refining Margin
part Section 2|152 pages
Other Commodities
chapter 9|20 pages
Cross-Market Soybean Futures Price Discovery
part Section 3|236 pages
Commodity Prices and Financial Markets
chapter 16|30 pages
Sectoral Stock Return Sensitivity to Oil Price Changes
part Section 4|122 pages
Electricity Markets
part Section 5|179 pages
Contemporary Topics