Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy

Contents

Preface

About the Editor

About the Contributors

1 Structural Models of Commodity Prices

Craig Pirrong, University of Houston

1.1 Introduction

1.2 A Commodity Taxonomy

1.3 Fundamental Models for Storable Commodities

1.4 Non-Storable Commodities

1.5 Summary

1.6 References

2 Forward Curve Modelling in Commodity Markets

Svetlana Borovkova, Universiteit Amsterdam, and Hélyette Geman, University of London and ESSEC

2.1 Introduction

2.2 Forward Curve Models for Non-Seasonal Commodities

2.3 The Seasonal Forward Curve Model and its Extensions

2.4 Principal Component Analysis of a Forward Curve

2.5 Forward Curve Indicators

2.6 Conclusions

2.7 References

3 Integrating Physical and Financial Risk Management in Supply Management

Paul R. Kleindorfer, University of Pennsylvania and INSEAD

3.1 Introduction

3.2 A Primer On Previous Supply Management Contracting Literature

3.3 A Modelling Framework and a Simple Illustrative Case

3.4 Recent Contributions to the Optimal Contracting Literature

3.5 Some Open Research Questions and Implications for Practice

3.6 References

4 The Design of New Derivative Markets

Giovanni Barone-Adesi, The Swiss Finance Institute and The University of Lugano

4.1 Introduction

4.2 Determinants of Success of New Derivative Markets

4.3 Price Discovery

4.4 Trading, Clearing, and Margining

4.5 Market Integrity

4.6 Market Recovery

4.7 Market Oversight

4.8 Case Studies

4.9 Conclusion

4.10 References

5 Risk Premia of Electricity Futures: A Dynamic Equilibrium Model

Wolfgang ...