ISBN 13 : 978-1032208176

Sommaire :
Section I. Oil Products
Chapter 1. The Volatility Risk Premium in the Oil Market

Chapter 2. Determinants of Oil Futures Prices and Convenience Yields

Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model

Chapter 4 Planning Logistics Operations in the Oil Industry

Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging

Chapter 6. Long-Term Spread Option Valuation and Hedging


Section II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices

Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration Approach

Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade?

Chapter 10. The Structure of Gold and Silver Spread Returns

Chapter 11. Gold and the US dollar: Tales from the Turmoil

Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China

Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk


Section III. Commodity Prices and Markets
Chapter 14. Short-Horizon Return Predictability and Oil Prices

Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts

Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model

Chapter 17 Long-Short Versus Long-Only Commodity Funds

Chapter 18. The Dynamics of Commodity Prices

Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices

Chapter 20. Commodity Markets through the Business Cycle

Chapter 21. A Hybrid Commodity and Interest Rate Market Model

Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units


Section IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A Comparison

Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets

Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets

Chapter 26. Efficient Pricing of Swing Options in Levy-Driven Models

Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels

Chapter 28. Is EUA a New Asset Class?


Section V. Contemporary Topics
Chapter 29. Volatility Is Rough

Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model

Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money?

Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach

Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) Framework

Epilogue

Langue : Anglais

Collection : CHAPMAN & HALL

Sous collection : CRC Financial Mathematics series

Edition : 2ème

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque