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Commodities and Commodity Derivatives Modeling and Pricing for Agriculturals, Metals and Energy

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

By Helyette Geman

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.

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Book Information

Publisher: Wiley
Publish Date: 03/11/2005
Pages: 416
ISBN-13: 9780470012185
ISBN-10: 0470012188
Language: Eng

Full Description

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

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.

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