Financial Modelling in Commodity Markets

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A01=Viviana Fanelli
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arbitrage strategies
Asian Call Option
Author_Viviana Fanelli
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Category1=Non-Fiction
Category=KFFM
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commodity spreads
Convenience Yield
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Cumulative Distribution Function
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derivative valuation
Electricity Spot Price
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European Call Option
European Call Option Price
Forward Contract
forward contracts
Forward Price
Geometric Brownian Motion
jump-diffusion models
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Log Spot Price
Martingale Measure
OLS Regression
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Partial Autocorrelation Function
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Replication Portfolio
Risk Neutral Distribution
Risk Neutral Measure
Risk Neutral Probability Measure
Risk Neutral Valuation Formula
SN=Chapman & Hall/CRC Financial Mathematics Series
softlaunch
spot price
Spot Price Modelling
Spot Price Return
Strike Price
Volatility Function
WTI Crude Oil
WTI Future

Product details

  • ISBN 9780367442866
  • Weight: 217g
  • Dimensions: 156 x 234mm
  • Publication Date: 09 Dec 2019
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Paperback
  • Language: English
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Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets.

The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks.

Key features:

  • Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data
  • Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners
  • Illustrates some important pricing models using real data sets that will be commonly used in financial markets

Viviana Fanelli is Associate Professor of Mathematical Methods of Economics, Actuarial Science and Finance at the University of Bari Aldo Moro in Italy. She has also been an advisor at Mantho Solutions Ltd., London, where she focused on mathematical modelling and quantitative analysis. She has been appointed as course leader on financial risk management at a GARP-ERP Certification Program and as lecturer in energy finance at MIP - Polytechnic of Milan. Her research interests cover commodity finance, asset pricing, arbitrage strategies, dynamic models, interest rate and credit risk modelling. She regularly publishes in academic journals, including Quantitative Finance, European Journal of Operational Research, Applied Energy and Nonlinear Analysis RWA. Viviana holds a PhD in mathematical methods for financial and economic decisions.