Commodity Derivatives
Markets and Applications
Neil C. Schofield
- English
- ePUB (adapté aux mobiles)
- Disponible sur iOS et Android
Commodity Derivatives
Markets and Applications
Neil C. Schofield
Ă propos de ce livre
Commodity Derivatives
In the newly revised Second Edition of Commodity Derivatives: Markets and Applications, expert trading educator and author Neil Schofield delivers a comprehensive overview of a wide variety of commodities and derivatives. Beginning with discussions of commodity markets generally before moving on to derivative valuation and risk management, the author then dives into individual commodity markets, like gold, base metals, crude oil, natural gas, electricity, and more.
Schofield relies on his extensive experience at Barclays Investment Bank to offer readers detailed examinations of commodity finance and the use of commodities within a wider investmentportfolio.
The second edition includes discussions of critical new topics like dual curve swap valuation, optionvaluation within a negative price environment using the Bachelier model, volatility skews, smiles, smirks, term structures for major commodities, and more. You'll find case studies on corporate failures linked to improper commodity risk management, as well as explorations of issues like the impact of growing interest in electric vehicles on commodity markets.
The text of the original edition has been updated and expanded and new example transactions are included to help the reader understand the concepts discussed within. Each chapter follows a uniform structure, with typical demand and supply patterns following a non-Âtechnical description of the commodity at issue. Discussions of the physical markets in each commodity and the main exchange-traded and over-the-counter products conclude each chapter.
Perfect for commodity and derivatives traders, analysts, and risk managers, the Second Edition of Commodity Derivatives: Markets and Applications will also earn a place in the libraries of students and academics studying finance and the graduate intake in financial institutions.
A one-stop resource for the main commodity markets and their associated derivatives
Finance professionals seeking a single volume that fully describes the major commodity markets and their derivatives will find everything they need in the latest edition of Commodity Derivatives: Markets and Applications. Former Global Head of Financial Markets Training at Barclays Investment Bank Neil Schofield delivers a rigorous and authoritative reference on a crucial, but often overlooked, subject.
Completely revised and greatly expanded, the Second Edition of this essential text offers finance professionals and students coverage on every major class of commodities, including gold, steel, ethanol, crude oil, and more. You'll also find discussions of derivative valuation, risk management, commodity finance, and the use of commodities within an investment portfolio.
Non-technical descriptions of major commodity classes ensure the material is accessible to everyone while still in-depth and rigorous enough to deliver key information on an area central to global finance.
Ideal for students and academics in finance, Commodity Derivatives is an indispensable guide for commodity and derivatives traders, analysts, and risk managers who seek a one-volume resource on foundational and advanced topics in commodity markets and their associated derivatives.
Foire aux questions
Informations
CHAPTER 1
Fundamentals of Commodities and Derivatives
- Crude oil and refined products (e.g. WTI/Brent, gasoline)
- Power and natural gas
- Natural gas liquids (e.g. propane and butane)
- Coal
- Copper, aluminium
- Gold, silver
- Grains
- Softs (e.g. coffee)
- Livestock
- Forest products (e.g. pulp and recovered paper)
- Carbon emissions
- Weather
- Freight
1.1 MARKET OVERVIEW
- Commodities are not homogeneous â it is not particularly helpful to speak in general terms about commodities. For example, the phrase âcrude oilâ is meaningless as the chemical properties of crude extracted in one location will vary from those in a different location. Trafigura (2016) argues that over 150 types of crude oil are traded worldwide.
- Commodities need to be transformed into consumer goods â for example, oil needs to be refined to produce gasoline.
- Benchmarks help participants agree on a price for nonâhomogeneous products â so with respect to crude oil, a particular grade of oil could be priced relative to an agreed benchmark such as a futures contract that references Brent Blend.
- Production and consumption may not take place in the same geographical location â this means that there is a need for transportation. The mode of this transportation can vary for a single commodity. For example, in the USA, crude oil is typically moved by pipeline or train. In other areas such as Europe, seaâborne transport may be more common.
- Consumption and production may not occur simultaneously â a consumer may not need to take immediate delivery of a commodity, therefore storage and inventories are key factors. When there is a geographic element to the issue, it takes time for a commodity to be transported.
1.2 MARKET PARTICIPANTS
- Avoid risk,
- Retain risk,
- Transfer risk,
- Reduce risk,
- Increase risk.
1.2.1 Physical market participants
- Credit, i.e. the unwillingness or inability of a customer to pay their debts.
- Logistical risks surrounding the movement of the commodity.
- Sourcing the right quality of commodity.
- Being able to finance dayâtoâday operations.
1.2.2 Price reporting agencies (PRAs)
âWith no futures benchmarkâŠall the spot price transparency of molassesâŠand a risk reward with which only a supremely knowledgeable professional or those wet behind the ears would be comfortableâŠguess the target audience?â(Financial Times, 2011)
âPublishers and information providers who report prices transacted in physical and some derivative markets and give informed assessment of price levels at distinct points in timeâ.
âThe process of applying a methodology and/or judgement to market data and other information to reach a conclusion about the price of oilâ.