Commodity Option Pricing

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 344 pages
File Size : 49,7 Mb
Release : 2014-03-05
Category : Business & Economics
ISBN : 9781444362411

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Commodity Option Pricing by Iain J. Clark Pdf

Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. The book has been developed with input from traders and examples using real world data, together with relevant up to date academic research. The book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 356 pages
File Size : 50,6 Mb
Release : 2014-04-21
Category : Business & Economics
ISBN : 9781119944515

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Commodity Option Pricing by Iain J. Clark Pdf

Commodity Option Pricing: A Practitioner’s Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author’s industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. This book has been developed with input from traders and features examples using real-world data, together with relevant up-to-date academic research. This book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight. Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.

Author : Helyette Geman
Publisher : John Wiley & Sons
Page : 479 pages
File Size : 52,9 Mb
Release : 2009-09-24
Category : Business & Economics
ISBN : 9780470687734

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Commodities and Commodity Derivatives by Helyette Geman Pdf

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

Author : Mark Ward Bitz
Publisher : Unknown
Page : 302 pages
File Size : 52,9 Mb
Release : 1985
Category : Commodity exchanges
ISBN : CORNELL:31924050280654

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The Pricing and Use of Commodity Options by Mark Ward Bitz Pdf

Author : Larry D. Spears
Publisher : Marketplace Books
Page : 92 pages
File Size : 48,6 Mb
Release : 1993-12
Category : Commodity futures
ISBN : 1883272017

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Commodity Options by Larry D. Spears Pdf

Complete descriptions of the 12 most popular commodity option strategies. Teaches concepts such as option pricing, time value, premium, and the best trading months for each commodity.

Author : Menachem Brenner
Publisher : Free Press
Page : 264 pages
File Size : 54,9 Mb
Release : 1983
Category : Business & Economics
ISBN : STANFORD:36105002487242

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Option Pricing by Menachem Brenner Pdf

Author : Paul E. Peterson
Publisher : Routledge
Page : 315 pages
File Size : 54,9 Mb
Release : 2018-04-27
Category : Business & Economics
ISBN : 9781317512974

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Commodity Derivatives by Paul E. Peterson Pdf

Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. Commodities are often used as inputs in the production of other products, and commodity prices are notoriously volatile. Derivatives include forwards, futures, options, and swaps; all are types of contracts that allow buyers and sellers to establish the price at one time and exchange the commodity at another. These contracts can be used to establish a price now for a purchase or sale that will occur later, or establish a price later for a purchase or sale now. This book provides detailed examples for using derivatives to manage prices by hedging, using futures, options, and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time. Finally, because the relationship between a commodity price and a derivative price is not constant, this book examines the impact of basis behaviour on hedging results, and shows how the basis can be bought and sold like a commodity. The material in this book is based on the author’s 30-year career in commodity derivatives, and is essential reading for students planning careers as commodity merchandisers, traders, and related industry positions. Not only does it provide them with the necessary theoretical background, it also covers the practical applications that employers expect new hires to understand. Examples are coordinated across chapters using consistent prices and formats, and industry terminology is used so students can become familiar with standard terms and concepts. This book is organized into 18 chapters, corresponding to approximately one chapter per week for courses on the semester system.

Author : Allen Jan Baird
Publisher : John Wiley & Sons
Page : 226 pages
File Size : 40,7 Mb
Release : 1992-11-11
Category : Business & Economics
ISBN : 0471578320

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Option Market Making by Allen Jan Baird Pdf

Approaches trading from the viewpoint of market makers and the part they play in pricing, valuing and placing positions. Covers option volatility and pricing, risk analysis, spreads, strategies and tactics for the options trader, focusing on how to work successfully with market makers. Features a special section on synthetic options and the role of synthetic options market making (a role of increasing importance on the trading floor). Contains numerous graphs, charts and tables.

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 54,8 Mb
Release : 2011-01-18
Category : Business & Economics
ISBN : 9780470683682

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Foreign Exchange Option Pricing by Iain J. Clark Pdf

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 42,5 Mb
Release : 2024-06-11
Category : Electronic
ISBN : 9789814468749

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Derivatives, Risk Management & Value by Anonim Pdf

Author : Sheldon Natenberg
Publisher : McGraw Hill Professional
Page : 484 pages
File Size : 49,7 Mb
Release : 1994-08-22
Category : Business & Economics
ISBN : 9780071508018

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Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg Pdf

One of the most widely read books among active option traders around the world, Option Volatility & Pricing has been completely updated to reflect the most current developments and trends in option products and trading strategies. Featuring: Pricing models Volatility considerations Basic and advanced trading strategies Risk management techniques And more! Written in a clear, easy-to-understand fashion, Option Volatility & Pricing points out the key concepts essential to successful trading. Drawing on his experience as a professional trader, author Sheldon Natenberg examines both the theory and reality of option trading. He presents the foundations of option theory explaining how this theory can be used to identify and exploit trading opportunities. Option Volatility & Pricing teaches you to use a wide variety of trading strategies and shows you how to select the strategy that best fits your view of market conditions and individual risk tolerance. New sections include: Expanded coverage of stock option Strategies for stock index futures and options A broader, more in-depth discussion volatility Analysis of volatility skews Intermarket spreading with options

Author : Carley Garner,Paul Brittain
Publisher : FT Press
Page : 288 pages
File Size : 42,6 Mb
Release : 2009-01-23
Category : Business & Economics
ISBN : 9780137154227

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Commodity Options by Carley Garner,Paul Brittain Pdf

Don’t Miss out on Today’s Hottest Trading Arena: Commodity Options! “The authors have written the definitive work on trading commodity options. Their in-depth knowledge of this subject is legendary among industry professionals and expert traders alike, and their ability to relay their knowledge through text, pictures, and the spoken word is unparalleled in our industry.” –Lan Turner, CEO, Gecko Software, Inc. “This book captures the realities of commodity option trading in a simple and easy- to-read presentation that will be beneficial for traders of all sizes and skill levels.” –Chris Jarvis, CFA, CMT, Caprock Risk Management, LLC “Even the most experienced investors often overlook the fact that options on futures are fundamentally different from options on stocks. This book fills that gap and sets the record straight with clear and concise descriptions that are easy to understand. Guaranteed to become a true source of value creation for anyone interested in trading commodity options.” –Jeff Augen, author, The Volatility Edge in Options Trading “Commodity Options arms readers with the strategies and tactics needed to take a more active approach to managing risk in today’s turbulent markets. The authors exhaustively break down every component of a commodity option to its lowest common denominator, making this book an essential piece of information for those looking to expand their trading tool box or further build on existing option strategies.” –John Netto, Chief Investment Strategist, NetBlack Capital and author, One Shot–One Kill Trading Investors worldwide are discovering the enormous opportunities available through commodity options trading. However, because commodities have differing underlying characteristics from equities, commodity ­options behave differently as well. In this book, two of the field’s most respected analysts present strategies built from the ground up for commodity options. Carley Garner and Paul Brittain begin with a quick primer on how commodity options work, how they evolved, and why conventional options strategies often fail in the commodity options markets. Next, using detailed examples based on their own extensive research, they show how to leverage the unique characteristics of commodity options in your own trades. You’ll walk through trades from “top to bottom,” master both long- and short-option approaches, and learn powerful strategies usually ignored in options books. For example, the authors introduce synthetic swing trading strategies that systematically reduce volatility from the market. This book’s easy-to-use trading strategies are strategically employed by the author’s clients every day: With Commodity Options, you can work to put the odds in your favor, too! • Why commodity options are different—and what it means to you Understand key differences in the underlying assets and the logistics of market execution • Systematically rewrite the odds in your favor Four ways to make winning trades more likely—and losing trades less common • When to trade short options—and how to manage the risk Why careful option selling may improve your odds of success • Master strategies designed for diverse market conditions Combine long and short options to create the right strategy for any market opportunity • Exploit short-lived trends through “synthetic” swing trading Get the advantages of futures contracts without the volatility

Author : Avner S. Wolf
Publisher : Unknown
Page : 48 pages
File Size : 47,8 Mb
Release : 1982
Category : Commodity exchanges
ISBN : PSU:000010730256

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Fundamentals of Commodity Options on Futures by Avner S. Wolf Pdf

Author : Patrick Boyle,Jesse McDougall
Publisher : Walter de Gruyter GmbH & Co KG
Page : 298 pages
File Size : 41,9 Mb
Release : 2018-12-17
Category : Business & Economics
ISBN : 9781547401215

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Trading and Pricing Financial Derivatives by Patrick Boyle,Jesse McDougall Pdf

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Author : John W. Labuszewski,Jeanne Cairns Sinquefield
Publisher : Unknown
Page : 408 pages
File Size : 55,6 Mb
Release : 1985-04-04
Category : Business & Economics
ISBN : UOM:49015001183715

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Inside the Commodity Option Markets by John W. Labuszewski,Jeanne Cairns Sinquefield Pdf

Examines the fundamentals of the debt securities, stock index, precious metals, and agricultural commodities markets in detail. Explores the intuitive explanation of option pricing, including the differences bsetween pricing options on futures contracts, physical commodities, and securities. Offers a wide variety of trading strategies, risk management techniques, hedging applications, and speculation, T-bond trading, put and call strategies. Includes dozens of graphs and illustrations, and features a foreword by Richard Sandor, the `father of financial futures.'