Isbn: 9798896654537 - commodity derivatives pricing: smile models for energy and agricultural options (5 Ergebnisse)

Zustand: New.

PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Zustand: New. New Book. Shipped from UK. Established seller since 2000.

Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Commodity option markets demand models that respect the realities of storage, seasonality, mean reversion, and abrupt supply shocks-features that make standard equity-style intuition unreliable. This book is written for quantitative analysts, traders, structurers, and risk managers who need a practical yet rigorous framework for pricing and managing options across energy, metals, and agricultural markets.Beginning with market foundations and contract conventions, the book develops the full chain from no-arbitrage pricing and forward-curve modeling to Black-76, Bachelier, implied volatility smiles, and commodity-specific Greeks. It then advances into local volatility, stochastic volatility, SABR, Heston-style models, and jump-enhanced approaches, with detailed treatment of calibration, arbitrage-free surface construction, and hedging. The reader also learns to implement numerical methods for production use and to price spread options such as calendar, crack, and spark structures under smile-consistent dynamics.What distinguishes this guide is its commodity-first perspective. Rather than forcing generic option theory onto commodity markets, it builds models around the actual underlyings, term structures, and risks practitioners face. Basic knowledge of derivatives and stochastic calculus is helpful, but the exposition connects theory, calibration, and system design in one coherent workflow.…

Taschenbuch. Zustand: Neu. Commodity Derivatives Pricing | Smile Models for Energy and Agricultural Options | Roland H. Blackthorn | Taschenbuch | Englisch | 2026 | NobleTrex Press | EAN 9798896654537 | Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, 36244 Bad Hersfeld, gpsr[at]libri[dot]de | Anbieter: preigu Print on Demand. …