9781119944515

Commodity Option Pricing A Practitioner's Guide

  • ISBN 13:

    9781119944515

  • ISBN 10:

    1119944511

  • Format: Hardcover
  • Copyright: 04/14/2014
  • Publisher: Wiley

Note: Not guaranteed to come with supplemental materials (access cards, study guides, lab manuals, CDs, etc.)

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Summary

Commodity Option Pricing: A Practitioner’s Guide provides a thorough and mathematical introduction to the various models used in commodity option pricing. It both introduces the models used for commodities and, crucially, describes how practitioners in banks and hedge funds typically approach their calibration and implementation. Specifically, it introduces the various commodity areas a quantitative analyst, trader or structurer will be asked to cover, such as precious metals, base metals, energy (oil, gas and coal) and power, and explains the differences between the market conventions applicable to these areas. While the mathematical models for precious metals are similar to those for foreign currency spot markets, base metals introduce the concept of a strip of traded futures, while the energy markets combine the requirement for a futures based approach with a volatility surface more similar to that seen in equity markets. Power markets differ by yet another degree of complexity – the impracticality of storing industrial amounts of electricity, which necessitates modelling incorporating spikes. For this reason, the book will introduce the various commodities in this order, beginning with the easiest and to progress to the more complex, together with the required mathematical models.

The book is aimed at quantitative analysts and mathematically able traders and structurers either currently working in the area or aiming to make the transition into commodities from other asset classes, as well as academics who need to familiarize themselves with the industry conventions of the commodity markets.

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