Commodity Option Pricing: A Practitioner's Guide (The Wiley Finance Series) (英語) ハードカバー – 2014/4/21
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Commodity Option Pricing: A Practitioner’s Guidecovers commodity option pricing for quantitative analysts, tradersor structurers in banks, hedge funds and commodity tradingcompanies.
Based on the author’s industry experience with commodityderivatives, this book provides a thorough and mathematicalintroduction to the various market conventions and models used incommodity option pricing. It introduces the various derivativeproducts typically traded for commodities and describes how thesemodels can be calibrated and used for pricing and risk management.The book has been developed with input from traders and examplesusing real world data, together with relevant up to date academicresearch.
The book includes practical descriptions of market conventionsand quote codes used in commodity markets alongside typicalproducts seen in broker quotes and used in calibration. Alsodiscussed are commodity models and their mathematical derivationand volatility surface modelling for traded commodity derivatives.Gold, silver and other precious metals are addressed, includinggold forward and gold lease rates, as well as copper, aluminium andother base metals, crude oil and natural gas, refined energy andelectricity. There are also sections on the products encountered incommodities such as crack spread and spark spread options andalternative commodities such as carbon emissions, weatherderivatives, bandwidth and telecommunications trading, plastics andfreight.
Commodity Option Pricing is ideal for anyone working incommodities or aiming to make the transition into the area, as wellas academics needing to familiarize themselves with the industryconventions of the commodity markets.
Dr Iain J. Clarkis former Head of Foreign Exchange andCommodities Quantitative Analysis at Standard Bank's Londonoffice, and has also worked for JP Morgan, BNP Paribas, LehmanBrothers, Dresdner Kleinwort and UniCredit. He holds a PhD inapplied mathematics and an MSc in financial mathematics. He is theauthor of Foreign Exchange Option Pricing: A Practitioner'sGuide and is currently an independent researcher andconsultant.
I would recommend it!
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
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.
I love this book this is going to be one of the classics like the Hull book.