Handbook of Multi-Commodity Markets and Products - Structuring, Trading and Risk Management

Informationen zum Autor ANDREA RONCORONI is Professor of Finance at ESSEC Business School (Paris-Singapore), regular Visiting Professor at Bocconi University (Milan), and Director of the ESSEC Energy and Commodity Finance research center. He holds PhD's in Applied Mathematics and in Finance. His research interests primarily cover energy and commodity markets, corporate financial risk analysis and management, quantitative modelling, derivative design and valuation. Andrea put forward the Threshold Model for price simulation in spiky electricity markets, and devised FloRisk Metrics, an effective analytics to monitor and manage corporate financial exposure. He publishes in academic journals, professional reviews, financial book series, and acts as Associate Editor for the Journal of Energy Markets and Co-Editor for Argo Review . Andrea has co-authored the reference volume Implementing Models in Quantitative Finance . As a professional advisor, he consulted for private companies and public institutions, including Dong Energy, Edison, Enel, GDF, Natixis, and Trafigura Electricity Italia (TEI Energy). He is founder and CEO of Energisk, a start-up company developing cutting-edge risk analytics for corporate clients. GIANLUCA FUSAI is Full Professor in Financial Mathematics at the University of Eastern Piedmont, Italy, and a PT Reader in Mathematical Finance at Cass Business School, City University of London, UK. He holds a PhD in Finance from Warwick Business School, an MSc in Statistics and Operational Research from the University of Essex and a BSc in Economics from Bocconi University. His research interests focus on Energy Markets, Financial Engineering, Numerical Methods for Finance, Quantitative Risk Management. He has published extensively on these topics in top-tier international reviews. Gianluca has also co-authored the best-selling textbook Implementing Models in Quantitative Finance . Gianluca has cooperated to several projects in energy markets including a multi-energy risk assessment tool developed in conjunction with a pool of energy and industrial companies and a forward curve builder for the power and gas markets nowadays used for trading and marking to market. He has also been a consultant for private and public sector on building pricing tools of derivative products. Gianluca has been an expert witness in several derivative disputes. MARK CUMMINS is Senior Lecturer in Finance at the Dublin City University Business School and holds a PhD in Quantitative Finance. Mark's research interests include a broad range of energy and commodity modelling, derivatives, risk management and trading topics. Mark has published in international journals such as Energy Economics, Applied Energy and the Journal of Energy Markets, as well as mainstream finance journals such as the Journal of Financial Markets, International Review of Financial Analysis and Quantitative Finance. Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International Ltd. As part of the Risk Quantitative Analysis team, primary responsibilities included derivatives and price curve model validation and development, with a global remit across BP's energy and commodity activities. Mark is engaged in ongoing industry training and consultancy activities, focused on the energy sector primarily. Klappentext Handbook of Multi-Commodity Markets and Products Zusammenfassung The comprehensive guide to working more effectively within the multi-commodity market. The Handbook of Multi-Commodity Markets and Products is the definitive desktop reference for traders, structurers, and risk managers who wish to broaden their knowledge base. Inhaltsverzeichnis Preface xix Acknowledgements xxiii About the Editors xxv List of Contributors xxvii Part One Commodity Ma...

Sommario

Preface xix
 
Acknowledgements xxiii
 
About the Editors xxv
 
List of Contributors xxvii
 
PART ONE Commodity Markets and Products
 
CHAPTER 1 Oil Markets and Products 3
Cristiano Campi and Francesco Galdenzi
 
1.1 Introduction 3
 
1.2 Risk Management for Corporations: Hedging Using Derivative Instruments 4
 
1.2.1 Crude Oil and Oil Products Risk Management for Corporations 4
 
1.3 Oil Physical Market Hedging and Trading 41
 
Further Reading 66
 
CHAPTER 2 Coal Markets and Products 67
Lars Schernikau
 
2.1 Introduction 67
 
2.2 Source of Coal - Synopsis of the Resource Coal 72
 
2.3 Use of Coal - Power Generation and More 90
 
2.4 Overview of Worldwide Steam Coal Supply and Demand 102
 
2.5 The Global Steam Coal Trade Market and its Future 121
 
2.6 Concluding Words 129
 
Abbreviations and Definitions 130
 
Acknowledgements 132
 
References 132
 
CHAPTER 3 Natural Gas Markets and Products 135
Mark Cummins and Bernard Murphy
 
3.1 Physical Natural Gas Markets 135
 
3.2 Natural Gas Contracting and Pricing 154
 
3.3 Financial Natural Gas Markets 158
 
References 180
 
CHAPTER 4 Electricity Markets and Products 181
Stefano Fiorenzani, Bernard Murphy and Mark Cummins
 
4.1 Market Structure and Price Components 181
 
4.2 Renewables, Intra-Day Trading and Capacity Markets 205
 
4.3 Risk Measures for Power Portfolios 216
 
References 221
 
Further Reading 221
 
CHAPTER 5 Emissions Markets and Products 223
Marc Chesney, Luca Taschini and Jonathan Gheyssens
 
5.1 Introduction 223
 
5.2 Climate Change and the Economics of Externalities 224
 
5.3 The Kyoto Protocol 227
 
5.4 The EU ETS 232
 
5.5 Regional Markets: A Fragmented Landscape 239
 
5.6 A New Asset Class: CO2 Emission Permits 241
 
Abbreviations 252
 
References 252
 
CHAPTER 6 Weather Risk and Weather Derivatives 255
Alessandro Mauro
 
6.1 Introduction 255
 
6.2 Identification of Volumetric Risk 257
 
6.3 Atmospheric Temperature and Natural Gas Market 264
 
6.4 Modification of Weather Risk Exposure with Weather Derivatives 272
 
6.5 Conclusions 276
 
Nomenclature 277
 
References 277
 
CHAPTER 7 Industrial Metals Markets and Products 279
Alessandro Porru
 
7.1 General Overview 279
 
7.2 Forward Curves 305
 
7.3 Volatility 337
 
Acknowledgements 352
 
References 353
 
Further Reading 353
 
CHAPTER 8 Freight Markets and Products 355
Manolis G. Kavussanos, Ilias D. Visvikis and Dimitris N. Dimitrakopoulos
 
8.1 Introduction 355
 
8.2 Business Risks in Shipping 356
 
8.3 Freight Rate Derivatives 366
 
8.4 Pricing, Hedging and Freight Rate Risk Measurement 382
 
8.5 Other Derivatives for the Shipping Industry 393
 
8.6 Conclusion 396
 
Acknowledgements 396
 
References 397
 
CHAPTER 9 Agricultural and Soft Markets 399
Francis Declerk
 
9.1 Introduction: Stakes and Objectives 399
 
9.2 Agricultural Commodity Specificity and Futures Markets 400
 
9.3 Demand and Supply, Price Determinants and Dynamics 409
 
9.4 Hedging and Basis Management 466
 
9.5 The Financialization of Agricultural Markets and Hunger: Speculation and Regulation 480
 
9.6 Conclusion about Hedging and Futures Contracts 493
 
References 495
 
Further Reading 496
 
Glossary, Quotations and Poli

Dettagli sul prodotto

• Autori: Mark Cummins, Cummins Mark, Gianluc Fusai, Gianluca Fusai, Gianluca (Universita Degli Studi Del Piemon Fusai, Fusai Gianluca, Aa Roncoroni, Andre Roncoroni, Andrea Roncoroni, Andrea (University of Paris and Essec Roncoroni, Andrea Fusai Roncoroni, Roncoroni Andrea, RONCORONI ANDREA FUSAI GIANLUCA
• Editore: Wiley, John and Sons Ltd
• Lingue: Inglese
• Formato: Copertina rigida
• Pubblicazione: 01.10.2011
• EAN: 9780470745243
• ISBN: 978-0-470-74524-3
• Pagine: 1072
• Serie: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; Wiley Finance; Wiley Finance Series
• Categorie: Scienze sociali, diritto, economia > Economia > Economia aziendale; Financial Engineering, Finance & Investments, Finanz- u. Anlagewesen, Finanztechnik