Commodities and Commodity Deri: Modeling and Pricing for Agriculturals, Metals, and Energy (The Wiley Finance Series) Hardcover – 3 Mar 2005
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..".expect to see this book become the bible of the field..." (Short Book Review, June 2006)
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. 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; and real options valuation and hedging of physical assets in the energy industry.It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.In "Commodities and Commodity Derivatives", Helyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject." - Robert Merton, Professor, Harvard Business School. "A marvellously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." - Oldrich Vasicek, founder, KMV. See all Product description
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Other commodity books go into more depth, but often they get bogged down in tedious detail. This book doesn't.
Having said that, this book is a reference for anyone working on commodities. I have not found any book that is as complete and insightful as this one.
The first 2 chapters give some notions on market fundamentals such as spot forward and futures markets and their relationships, these are quite important to understand on commodities markets.
The chapters 3 to 6 are about stochastic price modeling, option pricing and risk neutral concepts. These are not my favourite chapters as they are quite technical, and requires some advanced mathematical knowledge, which I have: but it was not the funniest part!
The following chapters - the core value of the book - presents various commodities and their market with unequaled insight. This chapters are essentials for people working on commodities and are useful to novice to learn and experienced financiers to remember. You'll get familiar with the commodities, their characteristics and how they impact their market and price movements.
It is difficult for me to make a review good enough to describe how useful this book is, but as a junior structurer on commodities it really helped me get insight and start with my new job.
As a student this book was like a bible for me, even used as a reference for not only the commodities class but also the pricing class.
Only but, is that some pricing examples would have been an added bonus, yet still 5 star rated.