Andrea Roncoroni, Gianluca Fusai and Mark Cummins The definitive desk reference for multi-commodity marketsUsing real-world examples, this book combines a detailed overview of each market with a set of tools for analyzing, pricing, and managing risk. The authors are renowned industry experts and cover the structure, functioning, rules, and practices across a wide range of commodity markets. 2015 (Forthcoming)
Fred Espen Benth, Valery A. Kholodnyi and Peter Laurence Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. 2014
Antonio Castagna and Francesco Fede This is a fully up to date, cutting edge guide to the measurement and management of liquidity risk. Written for front and middle office risk management and quantitative practitioners, it provides the ground-level knowledge, tools and techniques for effective liquidity risk management.The book will be accompanied by web based tools including example spreadsheets to illustrate many of the more complex topics in the book. 2013
Fred Espen Benth and Jurate Saltyte Benth This monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. 2012
The Handbook of Energy Trading Stefano Fiorenzani, Samuele Ravelli and Enrico Edoli To thrive in today's booming energy trading market one needs to dispose of cutting-edge knowledge of the latest energy trading strategies, backed up by rigorous testing and practical applicationUnique in its practical approach. This Handbook is a guide providing valuable insight into the latest strategies for trading energ, all of them tested agaist competitive advantage and illustrated with up-to-the-minute case studies from the energy sector. 2012
Theory and Practice of Shipping Freight Derivatives Manolis G. Kavussanos and Ilias D. Visvikis As an inherently volatile industry, shipping features high risk-high return profile making rates and prices difficult to forecast, and as a consequence business projects less accurately budgeted. Thus, the identification and management of any such business risks is imperative. The book provides practical coverage of shipping freight rate derivatives, detailed by leading expert practitioners in the field, offering best practices from divergent and different points of view. 2011
Comment utiliser les marchés à terme agricoles et alimentaires : principe et mises en oeuvre Francis Declerck and Michel Portier Les marchés à terme offrent des techniques de couverture du risque de fluctuation des prix des matières premières. S'approprier ces outils semble vital pour la pérennité des entreprises dont l'activité est dépendante de la fluctuation des cours des matières premières agricoles. Cet ouvrage est un guide destiné à alimenter la réflexion de chacun de ces métiers et à concevoir "la" stratégie commerciale adaptée. 2010
Antonio Castagna This book is a unique guide to running an FX Options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner and Iason’s consultant Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. 2010 Helyette Geman Bringing 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. 2009
Gianluca Fusai and Andrea Roncoroni This book puts numerical methods into action for the purpose of solving concrete problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, transform-based methods and quadrature techniques. Click here to download codes presented in this book. 2008
Dragana Pilipovic This book presents an authoritative overview of the contemporary energy trading arena, combining the lesson's from the last decade with proven methods and strategies required for valuing energy derivatives and managing risk in these ever volatile markets. It features detailed coverage of the primary factors that influence energy risk, techniques for building marked-to-market forward curves, creating volatility matrices, and valuing complex options, among others. 2007
Damiano Brigo and Fabio Mercurio This successful book examines the most relevant topics in the interest rate modelling and derivatives pricing, such as calibration discussion of the basic LIBOR market model, analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs; local-volatility dynamics and stochastic volatility models; hybrid products (convertible bonds and inflation-linked derivatives). 2006
Rafal Weron This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes, including electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series, among others. 2006
Chris Harris This book allows one to understand the electricity market, its policies and how they drive prices, emissions, and security. It encompasses technical and quantitative arguments in a way that allows the user to confidently construct pricing models based on the various fluctuations that occur. 2006
Helyette Geman This book covers hard and soft commodities (energy, agriculture and metals) and analyses economic and geopolitical issues in commodities markets, commodity price and volume risk, stochastic modelling of commodity spot prices and forward curves, as well as real options valuation and hedging of physical assets in the energy industry, among other subjects in the field.. 2005
Alexander Eydeland and Krzysztof Wolyniec A book that identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. It encompasses energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals, combining academic rigor with real-world practicality. A must-read for anyone in energy risk management or asset valuation. 2002
Fletcher J. Sturm This great "how to" book covers the various mechanics of natural gas trading, including the physical (cash) market for natural gas production, transportation, distribution, and consumption. The heart of the text is the definition and demonstration of financial trading tools and techniques. It closes with discussion of more complex structures of trading and the author's philosophy on how a risk management department should function within a natural gas trading company. 1997 |
Publications >
