Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy - Couverture rigide

Geman, Helyette

 
9780470012185: Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy
Couverture rigide
ISBN 10 : 0470012188 ISBN 13 : 9780470012185
Editeur : John Wiley & Sons Inc, 2005

Synopsis

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

  • Economic and geopolitical issues in commodities markets
  • Commodity price and volume risk
  • Stochastic modelling of commodity spot prices and forward curves
  • Real options valuation and hedging of physical assets in the energy industry

It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject."
--Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
--Oldrich Vasicek, founder, KMV

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

Helyette Geman is a Professor of Finance at the University Paris Dauphine and ESSEC Graduate Business School. She is a graduate of the Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, covering the spectrum of oil, natural gas and electricity as well as agricultural commodities origination and trading. She was previously the head of Research and Development at Caisse des Depots. She has published more than 40 papers in major finance journals including the Journal of Finance, Mathematical Finance, Journal of Financial Economics, Journal of Banking and Finance and Journal of Business. She has also written a book entitled Insurance and Weather Derivatives'. Professor Geman's research includes asset price modelling using jump-diffusions and Levy processes, commodity forward curve modelling and exotic option pricing for which she won the first prize of the Merrill Lynch Awards.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2005
Langue
anglais
ISBN 10 
0470012188
ISBN 13 
9780470012185
Reliure
Relié
Nombre de pages
416
Coordonnées du fabricant
JOSSEY-BASS
https://www.wiley.com/en-us

111 River Street
Hoboken
NJ
7030
Etats-Unis
Personne responsable
Buchpark GmbH
gpsr@buchpark.de

Krügerweg 1
Trebbin
Brandenburg
14959
Allemagne