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Commodity Option Pricing: A Practitioner's Guide (The Wiley Finance Series) Hardcover – 21 Mar 2014

5.0 out of 5 stars 2 customer reviews

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Product details

  • Hardcover: 342 pages
  • Publisher: John Wiley & Sons; 1 edition (21 Mar. 2014)
  • Language: English
  • ISBN-10: 1119944511
  • ISBN-13: 978-1119944515
  • Product Dimensions: 16.1 x 2.4 x 23.5 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
  • Amazon Bestsellers Rank: 674,648 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

About the Author

Dr Iain J. Clark

is former Head of Foreign Exchange and Commodities Quantitative Analysis at Standard Bank′s London office, and has also worked for JP Morgan, BNP Paribas, Lehman Brothers, Dresdner Kleinwort and UniCredit. He holds a PhD in applied mathematics and an MSc in financial mathematics. He is the author of Foreign Exchange Option Pricing: A Practitioner′s Guide and is currently an independent researcher and consultant.

From the Back Cover

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 developed with input from traders and examples using real world data, together with relevant up to date academic research.

The book includes practical descriptions of market conventions and quote codes used in commodity markets alongside typical products seen in broker quotes and used in calibration. Also discussed are commodity models and their mathematical derivation and volatility surface modelling for traded commodity derivatives. Gold, silver and other precious metals are addressed, including gold forward and gold lease rates, as well as copper, aluminium and other base metals, crude oil and natural gas, refined energy and electricity. There are also sections on the products encountered in commodities such as crack spread and spark spread options and alternative commodities such as carbon emissions, weather derivatives, bandwidth and telecommunications trading, plastics and freight.

Commodity Option Pricing is ideal for anyone working in commodities or aiming to make the transition into the area, as well as academics needing to familiarize themselves with the industry conventions of the commodity markets.


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Top Customer Reviews

Format: Hardcover
The book provides a very good description of the pricing models commonly used for commodity derivatives, as well as worked examples of applying them, which is very useful for gaining a better understanding of how the models actually work in practice.

It also provides invaluable background information about the most important commodity product lines and the quoting conventions used in these markets, which I had previously only been able to gain information about by talking to traders or quantitative analysts.

I previously developed/maintained an analytics library for a commodity derivatives desk in an investment bank, having come from an interest rates background with little knowledge of commodities. Had this book been available then it would have proved invaluable.

That being said, this book is not really intended for those who just wish to gain a better understanding of the strategies used to trade commodity derivatives, either in the context of hedging customer facing business as a dealer or for proprietary trading.
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Format: Hardcover
Deep commodities knowledge, very useful.
I love this book this is going to be one of the classics like the Hull book.
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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: HASH(0x8f1516fc) out of 5 stars 4 reviews
HASH(0x8f157f0c) out of 5 stars A very good description of the models and market conventions used for pricing commodity derivatives 25 Nov. 2014
By Mathew N Smith - Published on Amazon.com
Format: Hardcover
The book provides a very good description of the pricing models commonly used for commodity derivatives, as well as worked examples of applying them, which is very useful for gaining a better understanding of how the models actually work in practice.

It also provides invaluable background information about the most important commodity product lines and the quoting conventions used in these markets, which I had previously only been able to gain information about by talking to traders or quantitative analysts.

I previously developed/maintained an analytics library for a commodity derivatives desk in an investment bank, having come from an interest rates background with little knowledge of commodities. Had this book been available then it would have proved invaluable.

That being said, this book is not really intended for those who just wish to gain a better understanding of the strategies used to trade commodity derivatives, either in the context of hedging customer facing business as a dealer or for proprietary trading.
HASH(0x8f159018) out of 5 stars Great book that presents a lot of types of commodities ... 22 Oct. 2015
By Tiberiu - Published on Amazon.com
Format: Kindle Edition Verified Purchase
It is not a book for beginners. Readers should have a background regarding option pricing, Black-Sholes Model, stochastic calculus and trading. Great book that presents a lot of types of commodities as well as pricing models including some "exotic products" like weather derivatives.

I would recommend it!
0 of 2 people found the following review helpful
HASH(0x8f01024c) out of 5 stars Great Book! 2 Jun. 2014
By Amazon Customer - Published on Amazon.com
Format: Hardcover
Deep commodities knowledge, very useful.
I love this book this is going to be one of the classics like the Hull book.
0 of 4 people found the following review helpful
HASH(0x8f010420) out of 5 stars A doctorial thesis ? 20 Sept. 2014
By James E. Jessup - Published on Amazon.com
Format: Hardcover Verified Purchase
Jim

I found this book to be utterly pedantic. Lots of higher level math. Endless footnotes. And only a sliver of nuts-and-bolts information on trading options.

If you're looking for a long-winded treatment of rare, thinly-traded commodities, then you may benefit. You also may benefit if you wish to trade on exchanges around the world. Hmm
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