Commodities : Fundamental Theory of Futures, Forwards, and Derivatives Pricing (Hardcover, 2 ed)

Part I. Oil Products Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and B. Johnson Chapter 2. Determinants of oil Futures Prices and Convenience Yields M.A.H. Dempster, EA Medova and K. TangChapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts by a Three-Factor ModelK. Shiraya and A. TakahashiChapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, EA Medova, J. Scott and A. Sembos Chapter 5. Analyzing the Dynamics of the Refining Margin: Implications for Valuation and Hedging A. Garcia Mirantes, J. Poblacion and G. SernaChapter 6. Long Term Spread Option Valuation and Hedging M.A.H. Dempster, EA Medova and K. Tang Part II. Other Commodities Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices M. Bennedsen Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachL. Baldi, M. Peri and D. VandoneChapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? L. Han, R. Liang and K. Tang Chapter 10. The Structure of Gold and Silver Spread Returns JA Batten, C. Ciner, BM Lucey and PG Szilagyi Chapter 11. Gold and the US dollar: Tales from the Turmoil P. Zagaglia and M. Marzo Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaL. Cui, K. Huang and HJ Cai Chapter 13 Multivariate Continuous-Time Modelling of Wind Indices and the Hedging of Wind Risk F. Benth, T. Christensen and V. Rohde Part III. Commodity Prices and Markets Chapter 14. Short Horizon Return Predictability and Oil Prices J. Casassus and F. HigueraChapter 15. Time-frequency Analysis of Crude Oil and SandP500 Futures Contracts J. McCarthy and AG Orlov Chapter 16 Sectoral stock return Sensitivity to Oil Price Changes: A Double Threshold FIGARCH ModelE. Elyasiani, I. Mansur and B. Odusami Chapter 17 Long-Short Versus Long-Only Commodity Funds JM Mulvey Chapter 18. The Dynamics of Commodity Prices C. Brooks and M. ProkopczukChapter 19. Short-term and Long-term Dependencies of the SandP500 Index and Commodity PricesM. Graham, J. Kiviaho and J. Nikkinen Chapter 20. Commodity Markets Through the Business Cycle J. Chevallier, M. Gatumel and F. lelpo Chapter 21. A Hybrid Commodity and Interest Rate Market Model KF. Pilx and E. SchlogI Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and LeastSquares Monte Carlo Methods n Graphics Processing Units W. Dong and B. Kang Part IV. Electricity Markets Chapter 23. Modelling the Distribution of Day-Ahead Electricity Returns: A ComparisonS. Sapio Chapter 24. Stochastic Spot Price Multi-Period Model and option Valuation for Electrical Markets E. Helland, T. Aka and E. Winnington Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets B. Hambly, S. Howison and T. Kluge Chapter 26. Efficient Pricing of Swing Options in Levy-driven ModelsO. Kudryavtsev and A. Zanette Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions, and FuelsR. Carmona, M. Coulon and D. Schwartz Chapter 28. Is EUA a New Asset Class?V. Medina and A. Pardo Part V. Contemporary Topics Chapter 29. Volatility is RoughJ. Gatheral, T. Jaisson and M. Rosenbaum Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model F. Abergel, C. Hure and H. Pham Chapter 31. Cryptocurrency Liquidity during Extreme Price Movements: Is there a Problem with Virtual Money? V. Manahov Chapter 32. Identifying the Influential Factors of Commodity Futures Prices Through a New Text Mining Approach J. Li, G. Li, X. Zhu and Y. Yao Chapter 33. Classification of Flash CrashesR. Wehrli and D. Sornette