{"product_id":"risk-management-in-commodity-markets-from-shipping-to-agriculturals-and-energy-hardback-9780470694251","title":"Risk Management in Commodity Markets; From Shipping to Agriculturals and Energy (Hardback) 9780470694251","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eRisk Management in Commodity Markets\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eFrom Shipping to Agriculturals and Energy\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eHelyette Geman (Edited by), H Geman (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470694251, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 14 November 2008\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e320 pages\u003cbr\u003e24.9 x 17.8 x 2.5 cm, 0.737 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\"... the wide range of issues covered in different ways should mean there is something for everyone.\" (\u003cem\u003eSupply Management,\u003c\/em\u003e February 5th 2009)\u003c\/p\u003e\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eCommodities represent today the fastest growing markets worldwide. Historically misunderstood, generally under- studied and under- valued, certainly under- represented in the literature, commodities are suddenly receiving the attention they deserve.  \u003cp\u003eBringing together some of the best authors in the field, this book focuses on the risk management issues associated with both soft and hard commodities: energy, weather, agriculturals, metals and shipping.  Taking the reader through every part of the commodities markets, the authors discuss the intricacies of modelling spot and forward prices, as well as the design of new Futures markets. The book also looks at the use of options and other derivative contract forms for hedging purposes, as well as supply management in commodity markets.  It looks at the implications for climate policy and climate research and analyzes the various freight derivatives markets and products used to manage shipping and freight risk in a global commodity world.\u003c\/p\u003e \u003cp\u003eIt is required reading for energy and mining companies, utilities’ practitioners, commodity and cash derivatives traders in investment banks, CTA’s and hedge funds\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAbout the Editor xv\u003c\/p\u003e \u003cp\u003eAbout the Contributors xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Structural Models of Commodity Prices 1\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eCraig Pirrong, University of Houston\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 A Commodity Taxonomy 1\u003c\/p\u003e \u003cp\u003e1.3 Fundamental Models for Storable Commodities 2\u003c\/p\u003e \u003cp\u003e1.4 Non-Storable Commodities 6\u003c\/p\u003e \u003cp\u003e1.5 Summary 7\u003c\/p\u003e \u003cp\u003e1.6 References 7\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Forward Curve Modelling in Commodity Markets 9\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eSvetlana Borovkova, Universiteit Amsterdam, and Hélyette Geman, University of London and ESSEC\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 9\u003c\/p\u003e \u003cp\u003e2.2 Forward Curve Models for Non-Seasonal Commodities 14\u003c\/p\u003e \u003cp\u003e2.3 The Seasonal Forward Curve Model and its Extensions 17\u003c\/p\u003e \u003cp\u003e2.4 Principal Component Analysis of a Forward Curve 24\u003c\/p\u003e \u003cp\u003e2.5 Forward Curve Indicators 26\u003c\/p\u003e \u003cp\u003e2.6 Conclusions 31\u003c\/p\u003e \u003cp\u003e2.7 References 31\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Integrating Physical and Financial Risk Management in Supply Management 33\u003cbr\u003e \u003c\/b\u003e\u003ci\u003ePaul R. Kleindorfer, University of Pennsylvania and INSEAD\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 33\u003c\/p\u003e \u003cp\u003e3.2 A Primer On Previous Supply Management Contracting Literature 35\u003c\/p\u003e \u003cp\u003e3.3 A Modelling Framework and a Simple Illustrative Case 37\u003c\/p\u003e \u003cp\u003e3.4 Recent Contributions to the Optimal Contracting Literature 44\u003c\/p\u003e \u003cp\u003e3.5 Some Open Research Questions and Implications for Practice 46\u003c\/p\u003e \u003cp\u003e3.6 References 49\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 The Design of New Derivative Markets 51\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eGiovanni Barone-Adesi, The Swiss Finance Institute and The University of Lugano\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 51\u003c\/p\u003e \u003cp\u003e4.2 Determinants of Success of New Derivative Markets 52\u003c\/p\u003e \u003cp\u003e4.3 Price Discovery 53\u003c\/p\u003e \u003cp\u003e4.4 Trading, Clearing, and Margining 54\u003c\/p\u003e \u003cp\u003e4.5 Market Integrity 55\u003c\/p\u003e \u003cp\u003e4.6 Market Recovery 56\u003c\/p\u003e \u003cp\u003e4.7 Market Oversight 56\u003c\/p\u003e \u003cp\u003e4.8 Case Studies 57\u003c\/p\u003e \u003cp\u003e4.9 Conclusion 58\u003c\/p\u003e \u003cp\u003e4.10 References 58\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model 61\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eWolfgang Bühler, University of Mannheim, and Jens Müller-Merbach, BHF-Bank Aktiengesellschaft\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 61\u003c\/p\u003e \u003cp\u003e5.2 The Dynamic Equilibrium Model 62\u003c\/p\u003e \u003cp\u003e5.3 Comparative Statics 64\u003c\/p\u003e \u003cp\u003e5.4 Empirical Study 73\u003c\/p\u003e \u003cp\u003e5.5 Conclusion 77\u003c\/p\u003e \u003cp\u003e5.6 References 80\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Measuring Correlation Risk for Energy Derivatives 81\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eRoza Galeeva, Jiri Hoogland, and Alexander Eydeland, CMG, Morgan Stanley\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 81\u003c\/p\u003e \u003cp\u003e6.2 Correlation 81\u003c\/p\u003e \u003cp\u003e6.3 Perturbing the Correlation Matrix 82\u003c\/p\u003e \u003cp\u003e6.4 Correlation VaR 85\u003c\/p\u003e \u003cp\u003e6.5 Some Examples 85\u003c\/p\u003e \u003cp\u003e6.6 Discussion and Conclusions 88\u003c\/p\u003e \u003cp\u003e6.7 References 89\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Precaution and a Dismal Theorem: Implications for Climate Policy and Climate Research 91\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eGary W. Yohe, Wesleyan University and Richard S. J. Tol, Economic and Social Research Institute, Dublin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 91\u003c\/p\u003e \u003cp\u003e7.2 A New Source of Concern: Weitzman’s Dismal Theorem 93\u003c\/p\u003e \u003cp\u003e7.3 Implications of the “Dismal Theorem” 94\u003c\/p\u003e \u003cp\u003e7.4 Some Concluding Remarks 96\u003c\/p\u003e \u003cp\u003e7.5 References 97\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Incentives for Investing in Renewables 101\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eFalbo Paolo, University of Brescia, Felletti Daniele and Stefani Silvana, University of Milano Bicocca\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction and Background 101\u003c\/p\u003e \u003cp\u003e8.2 Subsidies for Energy 103\u003c\/p\u003e \u003cp\u003e8.3 The Model 104\u003c\/p\u003e \u003cp\u003e8.4 Statistical Estimations 107\u003c\/p\u003e \u003cp\u003e8.5 Risk Analysis 109\u003c\/p\u003e \u003cp\u003e8.6 Conclusions 114\u003c\/p\u003e \u003cp\u003e8.7 References 115\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Hedging the Risk of an Energy Futures Portfolio 117\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eCarol Alexander, ICMA Centre, University of Reading\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e9.1 Mapping Portfolios to Constant Maturity Futures 117\u003c\/p\u003e \u003cp\u003e9.2 The Portfolio and its Key Risk Factors 120\u003c\/p\u003e \u003cp\u003e9.3 Identifying the Key Risk Factors 123\u003c\/p\u003e \u003cp\u003e9.4 Hedging the Portfolio Risk 124\u003c\/p\u003e \u003cp\u003e9.5 Conclusions 127\u003c\/p\u003e \u003cp\u003e9.6 References 127\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Spark Spread Options when Commodity Prices are Represented as Time Changed Processes 129\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eElisa Luciano, University of Turin\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e10.1 Spark Spread Options 130\u003c\/p\u003e \u003cp\u003e10.2 Time Change in a Nutshell 132\u003c\/p\u003e \u003cp\u003e10.3 Time Change and Commodity Prices 134\u003c\/p\u003e \u003cp\u003e10.4 An Application to PJM Electricity and NYMEX Natural Gas 137\u003c\/p\u003e \u003cp\u003e10.5 Conclusions and Further Research 144\u003c\/p\u003e \u003cp\u003e10.6 Appendix A: Modelling Specification in the Multivariate Case 145\u003c\/p\u003e \u003cp\u003e10.7 Appendix B: Alternative Modelling Specifications in the Univariate Case 147\u003c\/p\u003e \u003cp\u003e10.8 References 150\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Freight Derivatives and Risk Management: A Review 153\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eManolis G. Kavussanos, Athens University of Economics and Business, and Ilias D. Visvikis, ALBA Graduate Business School, Athens\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 153\u003c\/p\u003e \u003cp\u003e11.2 Forward Freight Agreements 154\u003c\/p\u003e \u003cp\u003e11.3 Freight Futures 157\u003c\/p\u003e \u003cp\u003e11.4 “Hybrid” (Cleared) FFAs 161\u003c\/p\u003e \u003cp\u003e11.5 Freight Options 162\u003c\/p\u003e \u003cp\u003e11.6 Empirical Research on Freight Derivatives 164\u003c\/p\u003e \u003cp\u003e11.7 Conclusion 178\u003c\/p\u003e \u003cp\u003e11.8 References 179\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Mean-Reversion and Structural Breaks in Crude Oil, Copper, and Shipping 183\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eHélyette Geman, University of London and ESSEC Business School, and Steve Ohana, University of London\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 183\u003c\/p\u003e \u003cp\u003e12.2 Fundamentals of Copper, Crude Oil, and Shipping 186\u003c\/p\u003e \u003cp\u003e12.3 Defining Mean-Reversion 191\u003c\/p\u003e \u003cp\u003e12.4 Dataset and Unit Root Tests 193\u003c\/p\u003e \u003cp\u003e12.5 Conclusion 203\u003c\/p\u003e \u003cp\u003e12.6 References 204\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Managing Agricultural Price Risk in Developing Countries 207\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eJulie Dana, The World Bank, and Christopher L. Gilbert, University of Trento and University of London\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e13.1 The Liberalization Context 207\u003c\/p\u003e \u003cp\u003e13.2 Incidence of Risk Exposure 209\u003c\/p\u003e \u003cp\u003e13.3 Instruments and Problems 215\u003c\/p\u003e \u003cp\u003e13.4 Price Risk Management in the Developing Country Supply Chain 221\u003c\/p\u003e \u003cp\u003e13.5 Concluding Comments 234\u003c\/p\u003e \u003cp\u003e13.6 References 236\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Gaining Exposure to Emerging Markets in Institutional Portfolios: The Role of Commodities 239\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eGeorge A. Martin, Alternative Investment Analytics LLC and University of Massachusetts at Amherst, and Richard Spurgin, Clark University and Alternative Investment Analytics LLC\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction 239\u003c\/p\u003e \u003cp\u003e14.2 Asset Markets and Economic Growth 239\u003c\/p\u003e \u003cp\u003e14.3 Are Emerging Markets Equity Markets and Commodity Markets Integrated? 244\u003c\/p\u003e \u003cp\u003e14.4 Implications for the Investment Policy of Institutional Investors 247\u003c\/p\u003e \u003cp\u003e14.5 Conclusion 254\u003c\/p\u003e \u003cp\u003e14.6 References 254\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Case Studies and Risk Management in Commodity Derivatives Trading 255\u003cbr\u003e \u003c\/b\u003e\u003ci\u003eHilary Till, Premia Capital Management LLC\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 255\u003c\/p\u003e \u003cp\u003e15.2 Institutional Risk Management 258\u003c\/p\u003e \u003cp\u003e15.3 Proprietary-Trading Risk Management 265\u003c\/p\u003e \u003cp\u003e15.4 Hedge Fund Risk Management 266\u003c\/p\u003e \u003cp\u003e15.5 Fund-of-Hedge-Funds Diversification 266\u003c\/p\u003e \u003cp\u003e15.6 Market Risk Management 267\u003c\/p\u003e \u003cp\u003e15.7 Conclusion 288\u003c\/p\u003e \u003cp\u003e15.8 References 288\u003c\/p\u003e \u003cp\u003eIndex 293\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52173738017048,"sku":"9780470694251","price":79.99,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780470694251.jpg?v=1781169280","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/risk-management-in-commodity-markets-from-shipping-to-agriculturals-and-energy-hardback-9780470694251","provider":"Freshly Printed Books","version":"1.0","type":"link"}