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  • 1
    Online Resource
    Online Resource
    Chichester, West Sussex, United Kingdom :John Wiley & Sons Inc.,
    UID:
    almafu_9959328804902883
    Format: 1 online resource
    ISBN: 9781444362411 , 1444362410 , 9781444362404 , 1444362402 , 9781118871782 , 1118871782 , 1119944511 , 9781119944515 , 9781306532396 , 1306532396
    Content: Commodity Option Pricing: A Practitioner's Guide covers commodity option pricing for quantitative analysts, traders or structurers in banks, hedge funds and commodity trading companies. Based on the author's industry experience with commodity derivatives, this book provides a thorough and mathematical introduction to the various market conventions and models used in commodity option pricing. It introduces the various derivative products typically traded for commodities and describes how these models can be calibrated and used for pricing and risk management. The book has been d.
    Note: Commodity Option Pricing; Contents; Acknowledgements; Web page for this book; Notation; List of Figures; List of Tables; 1 Introduction; 1.1 Trade, Commerce and Commodities; 1.2 Adapting to Commodities as an Asset Class; 1.2.1 Classification of Commodities into Sub-categories; 1.3 Challenges in Commodity Models; 1.3.1 Futures; 1.3.2 Correlation; 1.3.3 Seasonality; 1.3.4 American and Asian Features; 2 Commodity Mathematics and Products; 2.1 Spot, Forwards and Futures; 2.1.1 Spot; 2.1.2 Forwards; 2.1.3 Futures; 2.2 The Black-Scholes and Black-76 Models; 2.2.1 The Black-Scholes Model. , 2.2.2 The Black-Scholes Model Without Convenience Yield2.2.3 The Black-Scholes Model With Convenience Yield; 2.2.4 The Black-76 Model; 2.2.5 Risk-Neutral Valuation; 2.2.6 Forwards; 2.2.7 The Black-Scholes Term Structure Model; 2.3 Forward and Futures Contracts; 2.3.1 Forwards; 2.3.2 Futures; 2.3.3 Case Study; 2.4 Commodity Swaps; 2.5 European Options; 2.5.1 European Options on Spot; 2.5.2 European Options on Futures; 2.5.3 Settlement Adjustments; 2.6 American Options; 2.6.1 Barone-Adesi and Whaley (1987); 2.6.2 Lattice Methods; 2.7 Asian Options. , 2.7.1 Geometric Asian Options -- Continuous Averaging2.7.2 Arithmetic Asian Options -- Continuous Averaging; 2.7.3 Geometric Average Options -- Discrete Fixings -- Kemna and Vorst (1990); 2.7.4 Arithmetic Average Options -- Discrete Fixings -- Turnbull and Wakeman (1991); 2.8 Commodity Swaptions; 2.9 Spread Options; 2.9.1 Margrabe Exchange Options; 2.9.2 The Kirk Approximation; 2.9.3 Calendar Spread Options; 2.9.4 Asian Spread Options; 2.10 More Advanced Models; 2.10.1 Mean Reverting Models; 2.10.2 Multi-Factor Models; 2.10.3 Convenience Yield Models; 3 Precious Metals. , 3.1 Gold Forward and Gold Lease Rates3.2 Volatility Surfaces for Precious Metals; 3.2.1 Pips Spot Delta; 3.2.2 Pips Forward Delta; 3.2.3 Notation; 3.2.4 Market Volatility Surfaces; 3.2.5 At-the-Money; 3.2.6 Strangles and Risk Reversals; 3.2.7 Temporal Interpolation; 3.3 Survey of the Precious Metals; 3.3.1 Gold; 3.3.2 Silver; 3.3.3 Platinum; 3.3.4 Palladium; 3.3.5 Rhodium; 4 Base Metals; 4.1 Futures, Options and TAPO Contracts; 4.1.1 Futures; 4.1.2 Options; 4.1.3 Traded Average Price Options; 4.2 Commonly Traded Base Metals; 4.2.1 Copper; 4.2.2 Aluminium; 4.2.3 Zinc; 4.2.4 Nickel; 4.2.5 Lead. , 4.2.6 Tin5 Energy I -- Crude Oil, Natural Gas and Coal; 5.1 Crude Oil; 5.1.1 WTI; 5.1.2 Brent; 5.1.3 Calibration of WTI Volatility Term Structure; 5.1.4 Calibration of WTI Volatility Skew; 5.1.5 Brent and Other Crude Markets; 5.1.6 A Note on Correlation; 5.2 Natural Gas; 5.2.1 Deseasonalising Forward Curves; 5.3 Coal; 6 Energy II -- Refined Products; 6.1 The Refinery Basket; 6.2 Gasoline; 6.3 Heating Oil/Gas Oil; 6.4 Petroleum Gases and Residual Fuel Oil; 6.5 Seasonality and Volatility; 6.6 Crack Spread Options; 7 Power; 7.1 Electricity Generation; 7.2 Nonstorability and Decorrelation.
    Additional Edition: Print version: Clark, Iain J. Commodity option pricing. Chichester, West Sussex, United Kingdom : John Wiley & Sons Inc., 2014 ISBN 9781119944515
    Language: English
    Keywords: Electronic books. ; Electronic books. ; Electronic books. ; Electronic books. ; Electronic books. ; Electronic books.
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  • 2
    Online Resource
    Online Resource
    Chichester, West Sussex, U.K. :Wiley,
    UID:
    edocfu_9959327331202883
    Format: 1 online resource (xviii, 280 pages) : , illustrations
    ISBN: 9781119208679 , 111920867X , 9780470977194 , 0470977191
    Series Statement: Wiley finance series
    Content: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange-not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk c.
    Note: A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
    Additional Edition: Print version: Clark, Iain J. Foreign exchange option pricing. Chichester, West Sussex, U.K. : Wiley, 2011 ISBN 9780470683682
    Language: English
    Keywords: Electronic books. ; Electronic books.
    Library Location Call Number Volume/Issue/Year Availability
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  • 3
    Online Resource
    Online Resource
    Chichester, West Sussex, U.K. :Wiley,
    UID:
    almahu_9948197633202882
    Format: 1 online resource (xviii, 280 pages) : , illustrations
    ISBN: 9781119208679 , 111920867X , 9780470977194 , 0470977191
    Content: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange-not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk c.
    Note: A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
    Additional Edition: Print version: Clark, Iain J. Foreign exchange option pricing. Chichester, West Sussex, U.K. : Wiley, 2011 ISBN 9780470683682
    Language: English
    Keywords: Electronic books. ; Electronic books.
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 4
    Online Resource
    Online Resource
    Chichester [England] :Wiley,
    UID:
    almahu_9948315382302882
    Format: xviii, 280 p. : , ill.
    Edition: Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries.
    Series Statement: Wiley finance series
    Note: A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
    Language: English
    Keywords: Electronic books.
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 5
    Online Resource
    Online Resource
    Chichester, England :Wiley,
    UID:
    almahu_9948319059002882
    Format: 1 online resource (343 pages) : , illustrations.
    ISBN: 9781444362404 (e-book) , 9781444362411 (e-book) , 9781118871782 (e-book)
    Series Statement: Wiley finance series
    Additional Edition: Print version: Clark, Iain J. Commodity option pricing : a practitioner's guide. Chichester, England : Wiley, c2014 ISBN 9781119944515
    Language: English
    Keywords: Electronic books.
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 6
    Online Resource
    Online Resource
    Chichester, West Sussex, U.K. :Wiley,
    UID:
    almafu_9959327331202883
    Format: 1 online resource (xviii, 280 pages) : , illustrations
    ISBN: 9781119208679 , 111920867X , 9780470977194 , 0470977191
    Series Statement: Wiley finance series
    Content: This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange-not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk c.
    Note: A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.
    Additional Edition: Print version: Clark, Iain J. Foreign exchange option pricing. Chichester, West Sussex, U.K. : Wiley, 2011 ISBN 9780470683682
    Language: English
    Keywords: Electronic books. ; Electronic books.
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
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