Financial Markets for Commodities

 
 
Standards Information Network (Verlag)
  • 1. Auflage
  • |
  • erschienen am 3. Januar 2019
  • |
  • 188 Seiten
 
E-Book | PDF mit Adobe-DRM | Systemvoraussetzungen
978-1-119-57920-5 (ISBN)
 
Agricultural, energy or mineral commodities are traded internationally in two market categories: physical markets and financial markets. More specifically, on the financial markets, contracts are negotiated, the price of which depends on the price of a commodity. These contracts are called derivatives (futures, options contracts, swaps). This book presents, on the one hand, the characteristics of these derivatives and the markets on which they are traded and, on the other hand, those transactions that typically combine an action on the physical market and a transaction on the corresponding financial market. The understanding of commodity financial markets mainly relies on the resources of economic analysis, especially the financial economy, because the use of this discipline is essential to understanding the major operations that are conducted daily by the operators of these markets: traders, producers, processors, financiers.
1. Auflage
  • Englisch
  • Newark
  • |
  • USA
John Wiley & Sons Inc
  • Für Beruf und Forschung
  • 3,63 MB
978-1-119-57920-5 (9781119579205)
weitere Ausgaben werden ermittelt
Joel Priolon is Associate Professor at AgroParisTech. He has a PhD in economics and his research and teaching focus on financial markets, including commodity markets.
  • Cover
  • Half-Title Page
  • Title Page
  • Copyright Page
  • Contents
  • Preface
  • Introduction
  • 1. General Observations on the Physical Trading of Commodities
  • 1.1. The standardization of commodities and commercial contracts
  • 1.2. Price volatility of commodities
  • 1.2.1. Elasticity
  • 1.2.2. King's law
  • 1.3. Important actors in the trading of agricultural commodities
  • 1.3.1. Enterprises trading in agricultural commodities
  • 1.3.2. Business banks
  • 1.3.3. States and the trading of agricultural commodities
  • 1.4. Physical markets and financial markets
  • 2. The Financial Commodity Markets
  • 2.1. A financial instrument is a security or a contract that generates a series of financial flows
  • 2.2. Physical markets and derivative financial markets
  • 2.2.1. Physical commodity markets
  • 2.2.2. Organized financial markets of commodities
  • 2.3. Large financial operations
  • 2.3.1. Arbitrage
  • 2.3.2. Speculation on price increases
  • 2.3.3. Hedging
  • 2.3.4. Physical transactions and financial transactions
  • 3. Futures Contracts and Forward Contracts
  • 3.1. Futures markets in 2013 and 2014
  • 3.2. Derivative markets in 2016
  • 3.3. An overview of futures contracts
  • 3.3.1. Notations
  • 3.3.2. Gains and losses at the maturity of an elementary operation
  • 3.3.3. Closing a position before maturity
  • 3.4. Arbitrage operations and conditions for no arbitrage
  • 3.4.1. An elementary example of arbitrage through replication [BOS 02]
  • 3.4.2. A formal definition of NA [PON 96]
  • 3.5. Hedging operations
  • 3.5.1. An elementary example of hedging
  • 3.5.2. A model for an optimal hedge [PON 96]
  • 3.6. Speculation
  • 3.6.1. Speculation and hedging, a model for the optimal position
  • 3.7. Forward contracts
  • 3.8. The pricing of futures and forwards
  • 3.8.1. The bases of the Black model
  • 3.8.2. The dynamic of futures prices
  • 3.9. Commodity swaps
  • 3.9.1. Definition and example
  • 3.9.2. Pricing a swap
  • 4. The Storage and Term Structure of Commodity Futures Prices
  • 4.1. Essential concepts
  • 4.1.1. Uncertainty, spreads and future markets
  • 4.2. Normal backwardation
  • 4.2.1. The diversity of hedgers on futures markets
  • 4.2.2. The empirical scope of the normal backwardation theory
  • 4.3. The theory of storage
  • 4.3.1. Some fundamental concepts
  • 4.3.2. The theory of storage with occasional stockouts
  • 4.3.3. Spread and storage
  • 4.3.4. The concept of convenience yield
  • 4.4. Futures markets and price volatility
  • 4.4.1. Hedging and volatility
  • 4.4.2. Futures markets and information
  • 4.5. Conclusion
  • 5. Options Markets
  • 5.1. The fundamental concepts
  • 5.1.1. Characteristics of options and a glossary
  • 5.1.2. The life of an options contract on an exchange
  • 5.1.3. The risk of gain and the risk of loss on elementary strategies
  • 5.2. The determinants of the value of an option, the pricing of options
  • 5.2.1. The general principle behind the pricing of options
  • 5.2.2. Pricing options and choosing a model
  • 5.3. Models for estimating the value of an option
  • 5.3.1. The one-period CRR pricing model [COX 79]
  • 5.3.2. The BS model
  • 5.3.3. The origin of the BS model, the Arrow-Debreu model and the concept of the complete market
  • 5.3.4. Four propositions
  • 5.4. An example of a commodity option traded on an exchange
  • 5.5. Conclusion
  • 6. A Selective Review of Classic Literature in Economics
  • 6.1. Holbrook Working
  • 6.1.1. Definitions
  • 6.1.2. Hedging possibilities in Kansas city in 1951-1952
  • 6.1.3. Reinterpreting hedging
  • 6.1.4. Price fluctuations
  • 6.1.5. Other work related to Working's model
  • 6.2. Leland L. Johnson
  • 6.2.1. The model
  • 6.2.2. A graphical interpretation of the model
  • 6.3. Jerome L. Stein: cash price and future price
  • 6.3.1. The choice of hedging or not hedging stocks
  • 6.3.2. The supply of and demand for stocks and balance on the physical market
  • 6.3.3. Supply and demand of futures contracts and equilibrium on the financial market
  • 6.3.4. Simultaneous equilibrium on the spot and futures markets
  • 6.4. Conclusion
  • 7. A Very Selective Review of Modern Literature in Economics
  • 7.1. The price dynamics for cash prices and future prices - a theoretical approach
  • 7.1.1. The first case: there is no futures market
  • 7.1.2. Second case: a futures market is opened
  • 7.2. Market failure: the basis does not always cancel itself out at maturity
  • 7.2.1. The model
  • 7.3. An example of the destabilizing effect of optional hedging
  • 7.3.1. Delta-hedging
  • 7.3.2. An elementary example
  • 7.3.3. Intuition
  • 7.3.4. Graphical analysis of delta-hedging
  • 7.4. Conclusion
  • 8. Questions Surrounding Regulation
  • 8.1. Dilemmas surrounding regulation
  • 8.1.1. Organized financial markets are governed by strict regulations on the judicial level
  • 8.1.2. Physical markets have very little regulation
  • 8.2. A broad overview of the evolution of regulation
  • 8.2.1. Regulation within the framework of the European Union
  • 8.2.2. Regulation in the United States
  • 8.2.3. The role of the IOSCO
  • 8.3. High-frequency trading: a burning question
  • 8.3.1. Algorithmic trading
  • 8.3.2. High-frequency trading
  • 8.3.3. HFT and the risk of manipulation of the market
  • 8.4. Conclusion
  • Appendix: The Cox, Ross and Rubinstein model
  • A.1. Additional information on the single period CRR model
  • A.2. Hedging portfolio
  • A.2.1. Determining the hedge ratio - h
  • A.2.2. Determining the premium CO
  • A.3. Elements on the CRR model with n periods
  • A.4. Risk-neutral probability: some additional insight
  • A.4.1. Why use risk-neutral probability?
  • A.4.2. Equivalence relationship between the balance price and the risk-neutral probability
  • References
  • List of Authors
  • Index
  • Other titles from iSTE in Innovation, Entrepreneurship and Management
  • EULA

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