Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy [Hardcover]

Helyette Geman (Author)

Book Description

ISBN-10: 0470012188 | ISBN-13: 978-0470012185 | Publication Date: March 28, 2005 | Edition: 1

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

• Economic and geopolitical issues in commodities markets
• Commodity price and volume risk
• Stochastic modelling of commodity spot prices and forward curves
• Real options valuation and hedging of physical assets in the energy industry

It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.”
—Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
—Oldrich Vasicek, founder, KMV

Editorial Reviews

Review

"...expect to see this book become the bible of the field..." (Short Book Review, June 2006)

From the Back Cover

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as university endowments, and has resulted in substantial growth in spot derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

• Economic and geopolitical issues in commodities markets
• Commodity price and volume risk
• Stochastic modelling of commodity spot prices and forward curves
• Real options valuation and hedging of physical assets in the energy industry.

It is required reading for energy companies and utilities practitioners, Commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

"In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject."
–Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
–Oldrich Vasicek, founder, KMV

See all Editorial Reviews

Product Details

• Hardcover: 416 pages
• Publisher: Wiley; 1 edition (March 28, 2005)
• Language: English
• ISBN-10: 0470012188
• ISBN-13: 978-0470012185
• Product Dimensions: 10 x 6.9 x 1.2 inches
• Shipping Weight: 2.1 pounds (View shipping rates and policies)
• Average Customer Review: 3.4 out of 5 stars  See all reviews (9 customer reviews)
• Amazon Best Sellers Rank: #167,855 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

20 of 22 people found the following review helpful:

4.0 out of 5 stars A very welcome work on a neglected field, September 19, 2005

By 

Bachelier ""1004"" (Ile de France) - See all my reviews

This review is from: Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy (Hardcover)

As a former agricultural futures trader who has now moved on to credit, this book was a welcome addition to my bookshelf, as it brings a contemporary voice to the field which has been long overdue. The previous best work was the CBOT's own "Commodities Trading Manual," which has been outdated for a decade. Before the arrival of Helyette Geman's "Commodities and Commodity Derivatives : Modeling and Pricing for Agriculturals, Metals and Energy" the current state-of-the-art for pricing models and information feeds for commodity derivatives was sadly dispersed across journals, often obscure ones. Now increasing attention is being paid to diversified portfolios containing commodity exposure in addition to classic investment vehicles. Along with hedge funds, who naturally seek "under priced" volatility, portfolio managers today must therefore have a command of a wider knowledge base of investment opportunities. This work is therefore, indispensable.

The weakest element of the work is Nassim Taleb's introduction, for which commercial interests and pedagogic considerations no doubt combined.

14 of 17 people found the following review helpful:

2.0 out of 5 stars Not good, June 27, 2007

By 

grouchy (exiled into purgatory. for real.) - See all my reviews

This review is from: Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy (Hardcover)

Having done some work in commodities, and more recently in commodities derivatives, I was looking forward to reading this book. Helyette Geman has an excellent reputation in both the academic "ivory tower" and the practitioner "real world". While the book definitely attempts to cover a large and hereto unmet demand, it does not deliver a coherent, consistent and careful analysis of the commodities markets.

In offering an introductory overview of commodities spot and futures markets, the book does a decent job. Chapters 1 - 6 are probably the best chapters in the book and reflect the good understanding and thought leadership of the author. These chapters would have benefited from some careful linguistic editing. Frequently, the text reads French although the book is written in English; this linguistic dissonance is at times frustrating.

The last eight chapters are quite uneven. Each chapter is supposed to describe and introduce a commodity market, such as ags, metals, energy, etc, but few of the chapters are able to fully penetrate the material. The chapters and the material in these chapters are uneven, often bordering to the somewhat disorganized, and occasionally challenging to follow a logical flow in the exposition. Granted, the mathematics are there and they are correct for the most time (some steps in chapter 12 only make sense when you switch around the notation, which can be annoying). The chapter on gas markets is somewhat confusing and the treatment of electricity markets is very uneven. The two better chapters in the second half of the book - on metals and oil - are not written by prof Geman.

Is this a useful book? Notwithstanding the problems, it is a useful book as long as the reader and user recognizes its limitations.

6 of 8 people found the following review helpful:

5.0 out of 5 stars Excellent introduction to many aspects of commodities, January 3, 2007

By 

Bezalel Bar-Eli "building software solutions ... (Woodmere, New York USA) - See all my reviews
(REAL NAME)   

This review is from: Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy (Hardcover)

As I had background in equity and credit derivatives I found the book to be an excellent introduction to commodities as it covers many aspects that I currently support at Barclays Capital as a technologist; the mathematical notations are not complicated and you can always dig deeper then the book. Definitly a book in your reference library.

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