Commodities

Section I. Oil Products

Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett Johnson

Chapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos

Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke Tang

Section II. Other Commodities

Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel Bennedsen

Chapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela Vandone

Chapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke Tang

Chapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi

Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano Marzo

Chapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. Cai

Chapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor Rohde

Section III. Commodity Prices and Markets

Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov

Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. Odusami

Chapter 17 Long-Short Versus Long-Only Commodity Funds John M. Mulvey

Chapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi Nikkinen

Chapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian Ielpo

Chapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchloegI

Chapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least--Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. Kang

Section IV. Electricity Markets

Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro Sapio

Chapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric Winnington

Chapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino Kluge

Chapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino Zanette

Chapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRene Carmona, Michael Coulon and Daniel Schwartz

Chapter 28. Is EUA a New Asset Class?Vicente Medina and Angel Pardo

Section V. Contemporary Topics

Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum

Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frederic Abergel, Come Hure and Huyen Pham

Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov

Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao

Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette