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Commodity Derivatives de Neil C Schofield

Commodity Derivatives

Autor Neil C Schofield
en Limba Engleză Hardback – 26 iul 2021

Subliniem faptul că Commodity Derivatives nu este doar un manual teoretic, ci un ghid de execuție construit pe un model riguros de analiză a piețelor de mărfuri. Autorul propune un cadru de lucru care pornește de la fundamentele fizice ale fiecărei clase de active pentru a ajunge la mecanismele complexe de evaluare a derivatelor. Acest model funcționează deoarece ancorează instrumentele financiare abstracte în realitatea economică a cererii și ofertei, oferind traderilor și managerilor de risc o înțelegere profundă a volatilității specifice fiecărui sector. Ca și Michael Tamvakis în Commodity Trade and Finance, autorul distilează experiență reală în principii acționabile, însă Neil C Schofield plasează un accent mai mare pe complexitatea matematică a evaluării opțiunilor în contexte atipice. Ne-a atras atenția organizarea extrem de sistematică a volumului. Structura capitolelor este uniformă, facilitând o progresie logică de la descrierea non-tehnică a mărfii la analiza piețelor spot și, în final, la produsele tranzacționate la bursă (exchange-traded) sau over-the-counter (OTC). Cuprinsul relevă o acoperire exhaustivă, de la fundamentele contractelor forward și swap, până la tehnici avansate de gestionare a riscului de portofoliu. Considerăm că valoarea adăugată a acestei ediții rezidă în actualizarea modelelor matematice, precum utilizarea modelului Bachelier pentru prețuri negative, o necesitate critică în peisajul financiar actual. Cartea reușește să echilibreze rigoarea academică cu pragmatismul necesar în sălile de tranzacționare, fiind o resursă indispensabilă pentru cei care navighează piețele de aur, energie sau metale industriale.

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Specificații

ISBN-13: 9781119349105
ISBN-10: 1119349109
Pagini: 544
Dimensiuni: 182 x 248 x 37 mm
Greutate: 1.16 kg
Ediția:2nd edition
Editura: Wiley
Locul publicării:Chichester, United Kingdom

Public țintă

The primary market will be: commodity and derivatives traders, analysts, risk managers.
The secondary market will be: students, academics and the intern intake in large financial institutions.

De ce să citești această carte

Această carte se adresează profesioniștilor din sectorul bancar, traderilor și analiștilor care au nevoie de o referință tehnică solidă pentru gestionarea riscurilor. Cititorul câștigă acces la expertiza unui fost director de training de la Barclays, învățând nu doar cum să evalueze derivatele complexe, ci și cum să evite erorile strategice care au dus la colapsuri corporative celebre. Este un instrument de lucru pragmatic pentru optimizarea portofoliilor de investiții în mărfuri.

Despre autor

Neil C Schofield este un expert recunoscut la nivel internațional în educația financiară, având o carieră distinsă în sectorul bancar de investiții. A ocupat funcția de Global Head of Financial Markets Training în cadrul Barclays Investment Bank, experiență care îi conferă o perspectivă unică asupra nevoilor practice ale profesioniștilor din domeniu. Specialist în piețe de mărfuri și derivate, Schofield a instruit generații de traderi și manageri de risc, fiind autorul mai multor volume de referință publicate de editura Wiley. Expertiza sa acoperă atât aspectele tehnice de evaluare, cât și strategiile macroeconomice de tranzacționare.

Notă biografică

Neil Schofield is the Principal of FMT Ltd, a UK-based firm offering training services in treasury, derivatives, capital markets, and risk management to financial institutions, central banks, and corporations worldwide. From 2001 to 2008 he was Global Head of Financial Markets Training at Barclays Investment Bank.

Cuprins

Preface xi Chapter 1 Fundamentals of Commodities and Derivatives 1 1.1 Market overview 2 1.2 Market participants 3 1.3 Traded versus non-traded commodities 6 1.4 Forward contracts 8 1.5 Futures 8 1.6 Swaps 10 1.7 Options 11 1.8 Exotic options 14 Chapter 2 Derivative Valuation 18 2.1 Asset characteristics 18 2.2 Commodity prices and the economic cycle 18 2.3 Principles of commodity valuation 19 2.4 Forward price curves 21 2.5 Commodity swap valuation 32 2.6 Principles of option valuation 39 2.7 Measures of option risk management 44 Chapter 3 Risk Management Principles 58 3.1 Defining risk 58 3.2 Commodity market participants - the time dimension 60 3.3 Hedging corporate risk exposures 61 3.4 A framework for analysing corporate risk 62 3.5 Hedging customer exposures 63 3.6 Trading risk management 66 Chapter 4 Gold 76 4.1 The market for gold 76 4.2 Gold price drivers 81 4.3 The gold leasing and deposit market 91 4.4 Hedging 96 4.5 Trading gold 106 4.6 Yield enhancement 111 4.7 Summary 112 Chapter 5 Base Metals 114 5.1 Overview of base metal production 114 5.2 The copper lifecycle 115 5.3 Aluminium 119 5.4 The Steel market 120 5.5 The London Metal Exchange 122 5.6 Base metal price drivers 130 5.7 Electric Vehicles 133 5.8 Structure of market prices 134 5.9 Hedges for aluminium consumers in the automotive sector 139 5.10 Summary 157 Chapter 6 Crude Oil 159 6.1 Overview of energy markets 159 6.2 The value of crude oil 159 6.3 An overview of the physical supply chain 163 6.4 Refining crude oil 165 6.5 The demand for and supply of crude oil 172 6.6 Price drivers 179 6.7 The price of crude oil 189 6.8 Trading crude oil and refined products 195 Notes 209 6.9 Managing price risk along the supply chain 212 Chapter 7 Natural Gas 237 7.1 Formation of natural gas 237 7.2 Measuring natural gas 238 7.3 The physical supply chain 238 7.4 Deregulation and re-regulation 242 7.5 The demand for and supply of natural gas 245 7.6 Natural gas prices 250 7.7 Natural gas price drivers 257 7.8 Trading natural gas 260 7.9 Natural gas derivatives 263 Chapter 8 Electricity 280 8.1 What is electricity? 280 8.2 The physical supply chain 283 8.3 Market structure and regulation 285 8.4 Price drivers of electricity 291 8.5 Trading electricity - an overview 301 8.6 Electricity derivatives 313 Chapter 9 Plastics 332 9.1 The chemistry of plastic 332 9.2 The production of plastic 333 9.3 Monomer production 334 9.4 Polymerisation 334 9.5 Applications of plastics 335 9.6 Summary of the plastics supply chain 336 9.7 Price determination 336 9.8 Plastic price drivers 337 9.9 Forwards and swaps 338 9.10 Option strategies 340 Chapter 10 Bulk Commodities 341 10.1 The basics of coal 341 10.2 The demand for and supply of coal 343 10.3 Coal - the physical supply chain 346 10.4 Coal derivatives 349 10.5 Iron ore 353 10.6 Freight markets - the fundamentals 355 Chapter 11 Climate and Weather 368 11.1 The science of climate change 368 11.2 The consequences of climate change 371 11.3 The argument against climate change 372 11.4 History of human action against climate change 373 11.5 Price drivers of emissions markets 376 11.6 EU Emission Trading System 379 11.7 Emission derivatives 384 11.8 Weather derivatives 388 Chapter 12 Agriculture 394 12.1 Agricultural markets 394 12.2 Definitions 394 12.3 Agricultural products 395 12.4 Soft commodities 403 12.5 Ethanol 409 12.6 Price drivers 412 12.7 Exchange traded agricultural and ethanol derivatives 421 12.8 Over-the-counter agricultural derivatives 426 Chapter 13 Commodity-Linked Financing 433 13.1 The financing need 433 13.2 Project finance 437 13.3 Working capital and the asset conversion cycle 440 13.4 Longer-term debt funding solutions 454 Chapter 14 Commodity Investing 463 14.1 Commodity investors 463 14.2 Preferred instruments 465 14.3 Market size 465 14.4 Rationale for investing in commodities 466 14.5 Commodity indices 469 14.6 Total Return Swaps 478 14.7 Exchange traded products (ETPs) 481 14.8 Structured products 487 Glossary 499 Bibliography 507 Biography 510 Index 511

Descriere

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 investment portfolio.The second edition includes discussions of critical new topics like dual curve swap valuation, option valuation 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-technical 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 derivativesFinance 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.