Commodities
portes grátis
Commodities
Fundamental Theory of Futures, Forwards, and Derivatives Pricing
Dempster, M. A. H.; Tang, Ke
Taylor & Francis Ltd
12/2022
836
Dura
Inglês
9781032208176
15 a 20 dias
Descrição não disponível.
Section I. Oil Products
Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett Johnson
Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos
Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang
Section II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen
Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela Vandone
Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang
Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi
Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo
Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. Cai
Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde
Section III. Commodity Prices and Markets
Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov
Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. Odusami
Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey
Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi Nikkinen
Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo
Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchloegI
Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang
Section IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro Sapio
Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington
Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge
Chapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino Zanette
Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRene Carmona, Michael Coulon and Daniel Schwartz
Chapter 28. Is EUA a New Asset Class?Vicente Medina and Angel Pardo
Section V. Contemporary Topics
Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frederic Abergel, Come Hure and Huyen Pham
Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov
Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao
Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette
Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett Johnson
Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos
Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang
Section II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen
Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela Vandone
Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang
Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi
Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo
Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. Cai
Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde
Section III. Commodity Prices and Markets
Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov
Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. Odusami
Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey
Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi Nikkinen
Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo
Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchloegI
Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang
Section IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro Sapio
Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington
Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge
Chapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino Zanette
Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRene Carmona, Michael Coulon and Daniel Schwartz
Chapter 28. Is EUA a New Asset Class?Vicente Medina and Angel Pardo
Section V. Contemporary Topics
Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frederic Abergel, Come Hure and Huyen Pham
Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov
Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao
Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Finance;Financial mathematics;Derivatives;Investing;Markets;Modelling;Pricing;Portfolio management;WTI Crude Oil;Swing Options;Convenience Yields;Spot Price Model;WTI Crude Oil Future;NIG Distribution;Futures Term Structure;Price Spread Options;SVAR Model;Spread Options;Delta Hedging;Stochastic Volatility;Common Long Term Trend;OLS Regression;Negative Relationship;VRP;WTI Crude Oil Price;Soybean Futures;Log Spot Price;Hedging Errors;Oil Futures Returns;Stochastic Volatility Models;Spot Price Process;Wind Index;Sharpe Ratios
Section I. Oil Products
Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett Johnson
Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos
Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang
Section II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen
Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela Vandone
Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang
Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi
Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo
Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. Cai
Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde
Section III. Commodity Prices and Markets
Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov
Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. Odusami
Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey
Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi Nikkinen
Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo
Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchloegI
Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang
Section IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro Sapio
Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington
Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge
Chapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino Zanette
Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRene Carmona, Michael Coulon and Daniel Schwartz
Chapter 28. Is EUA a New Asset Class?Vicente Medina and Angel Pardo
Section V. Contemporary Topics
Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frederic Abergel, Come Hure and Huyen Pham
Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov
Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao
Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette
Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett Johnson
Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos
Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang
Section II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen
Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela Vandone
Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang
Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi
Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo
Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. Cai
Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde
Section III. Commodity Prices and Markets
Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov
Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. Odusami
Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey
Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi Nikkinen
Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo
Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchloegI
Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang
Section IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro Sapio
Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington
Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge
Chapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino Zanette
Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRene Carmona, Michael Coulon and Daniel Schwartz
Chapter 28. Is EUA a New Asset Class?Vicente Medina and Angel Pardo
Section V. Contemporary Topics
Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frederic Abergel, Come Hure and Huyen Pham
Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov
Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao
Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Finance;Financial mathematics;Derivatives;Investing;Markets;Modelling;Pricing;Portfolio management;WTI Crude Oil;Swing Options;Convenience Yields;Spot Price Model;WTI Crude Oil Future;NIG Distribution;Futures Term Structure;Price Spread Options;SVAR Model;Spread Options;Delta Hedging;Stochastic Volatility;Common Long Term Trend;OLS Regression;Negative Relationship;VRP;WTI Crude Oil Price;Soybean Futures;Log Spot Price;Hedging Errors;Oil Futures Returns;Stochastic Volatility Models;Spot Price Process;Wind Index;Sharpe Ratios
