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Commodity Option Pricing: A Practitioner's Guide by Iain J. Clark

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Further Reading

  1. Allen, C., Brearley, T., Clarke, A., Harman, J. and Berry, P. (1999) Australia in the World Gold Market. ABARE Research Report 99.8, Australian Bureau of Agricultural and Resource Economics: Canberra.
  2. Amen, S. (2013) Golden Times? – Discussing gold in the context of rates and flows. Thalesians Quant Strategy Notes (24 September 2013). www.thalesians.com/finance/index.php/Quant_Strategy.
  3. Andersen, L. (2010) Markov models for commodity futures: theory and practice. Quantitative Finance, 10(8): 831–854.
  4. Arthur, H. B. (1971) Commodity Futures as a Business Management Tool. Graduate School of Business Administration, Harvard University: Boston.
  5. Aravindhakshan, S. C. (2010) Essays: Biofuel Feedstock Production Economics and Identifying Jumps and Systematic Risk in Futures. PhD thesis, Oklahoma State University.
  6. Baeva, T. (2011) On the Pricing and Sensitivity of Spread Options on Two Correlated Assets. (Version: 9 May 2011). http://ssrn.com/abstract=1836689
  7. Bauwens, L., Hafner, C. and Pierret, D. (2011) Multivariate volatility modeling of electricity futures. SFB 629 Discussion paper 2011-063 (13 October 2011).
  8. Benth, F. E., Benth, J. Š. and Koekebakker, S. (2008) Stochastic Modelling of Electricity and Related Markets. World Scientific: Singapore.
  9. Benth, F. E., Kallsen, J. and Meyer-Brandis, T. (2007) A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Applied Mathematical Finance, 14 (2): 153--169.
  10. Benth, F. E., ...

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