(Ebook) Financial Modelling in Commodity Markets 1st Edition by Viviana Fanelli ISBN 9780367442866 0367442868

(Ebook) Financial Modelling in Commodity Markets 1st Edition by Viviana Fanelli ISBN 9780367442866 0367442868

(Ebook) Financial Modelling in Commodity Markets 1st Edition by Viviana Fanelli - Ebook PDF Instant Download/Delivery: 9780367442866 ,0367442868
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Product details:

ISBN 10: 0367442868
ISBN 13: 9780367442866
Author: Viviana Fanelli

(Ebook) Financial Modelling in Commodity Markets 1st Edition Table of contents:

1. Commodity-linked Products

1.1 Forward Contracts and Exchange Traded Futures

1.1.1 Forward Price

1.1.2 Futures Price

1.1.3 Spot-forward Relationship

1.1.3.1 Spot/Futures Arbitrage and the Basis

1.2 Options

1.2.1 European Options

1.2.2 American Options

1.2.3 Option Strategies

1.2.4 Exotic Options

1.3 Swaps

1.3.1 Plain Vanilla Swap

1.3.2 Other Swap Types

1.4 Commodity Spreads

1.5 Exercises

1.6 Answers

2. Spot Price Modelling

2.1 One-factor Models

2.1.1 Geometric Brownian Motion

2.1.2 Mean-reverting Process

2.2 Two-factor and Three-factor Models

2.3 Jump-diffusion Models

2.4 Seasonality Modelling

2.5 Stochastic Volatility Model

2.6 Regime-switching Models

2.7 Exercises

2.8 Answers

3. Forward Price Modelling

3.1 Forward/Futures Valuation

3.2 Forward Price Models

3.3 Modelling the Seasonality

3.4 Exercises

3.5 Answers

4. Derivative Valuation

4.1 Introduction to Valuation Models

4.2 Closed Form Solution Models

4.2.1 The Black and Scholes Model

4.2.2 The Black Model

4.2.3 The Volatility Smile

4.3 The Binomial Model

4.4 The Monte Carlo Approach

4.5 Exercises

4.6 Answers

5. Applications

5.1 Modelling the Italian Electricity Spot Market

Jumps or Spikes

High Volatility

Mean Reversion

Seasonality

Asymmetric Probability Distribution

5.1.1 Data Analysis

5.1.2 Price Analysis

5.1.3 Log-return Analysis

5.1.4 The Model

5.1.5 Hedging Strategy

Case 1: One-year Payoff Period

Case 2: One-month Payoff Period

5.2 Spark Spread Modelling

5.2.1 The Spot Price Models

5.2.2 Data Analysis

5.3 Arbitrage Strategy in Commodity Markets

5.3.1 Mispricing Investigation

5.3.2 Statistical Arbitrage Trading Strategies

5.3.3 Forecasting Model

6. Essential Statistics and Data Analysis

6.1 Plotting Time Series

6.2 Probability Distribution Analysis

6.3 Some Essential Statistical Tests

6.3.1 QQ Test

6.3.2 The Autocorrelation Test

6.3.3 R2

Bibliography

Index

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Tags: Viviana Fanelli, Financial Modelling, Commodity Markets