Ebook Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy, by Helyette Geman
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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
- Sales Rank: #1119915 in Books
- Brand: Brand: Wiley
- Published on: 2005-03-11
- Original language: English
- Number of items: 1
- Dimensions: 9.70" h x 1.20" w x 6.50" l, 2.06 pounds
- Binding: Hardcover
- 416 pages
- Used Book in Good Condition
Review
"...expect to see this book become the bible of the field..." (Short Book Review, June 2006)
From the Back Cover
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 substantial growth in spot 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
About the Author
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.
Most helpful customer reviews
0 of 0 people found the following review helpful.
you (should) have heard of this book and would highly recommend. You should also look at Espen Gaarder Haug's ...
By AdventureMK
The authority on commodity derviatives. If you trade derivs in commodity markets, you (should) have heard of this book and would highly recommend. You should also look at Espen Gaarder Haug's "The Complete Guide to Option Pricing Formulas" if for the only reason that it includes a computer CD w/ excel spreadsheets and VBA code for all the pricing models he discusses, which is the same and more that Geman covers. Geman does a great job of explaining the options market, volatility, downsides of black-scholes. My favorite explanations were those on the greeks: I think the most clear and concise (as possible) explanations you'll find anywhere.
1 of 1 people found the following review helpful.
Great book if you're interested in advanced trading systems for non-financial futures and options
By Amazon Customer
I came to this book via a somewhat circuitous path. I was researching the use of Fast Fourier Transforms in computational finance and came to this paper: Option Valuation Using the Fast Fourier Transform (Carr, Madan 1999). That led to something called the Variance Gamma distribution. More recent papers yielded references to the CGMY model, where C is Carr, M is Madan, G is Hélyette Geman and Y is Marc Yor. And that led to Geman and this book.
Despite those heavy academic origins, the book is well-written and should be accessible to practitioners in trading system design. It's especially comprehensive in its description of energy trading. There's an entire chapter on Monte Carlo and analytic solutions for pricing Asian, barrier and quanto options, for example. Oil, gas, electricity and even coal and weather markets are covered. The book does not, for the most part, talk about financial derviatives - options and futures traded on stock indexes, currencies or interest rates.
2 of 3 people found the following review helpful.
Readable and Thorough Introduction
By Amazon Customer
Two aspects of Prof. Geman's book are immediately distinguishing: it is quantitative and it is not propaganda. You won't read about how you can make millions trading commodities NOW! in this book; you will read about some of the quirks of these markets and how those quirks an affects the modeling.
Equally important is that I found the book eminently readable. As one reviewer noted, there are occasionally clumsy phrases that read like transliterated French; however, I preferred Geman's chapters to those written by "guest authors." Overall, the tone and order of exposition are so engaging that I read the book completely (instead of skimming or reading only for needed information).
The only suggestion I would make is to also purchase Dunsby et al.'s book on commodities; the two are great complements.
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