Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing

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M. A. H. Dempster (University of Cambridge & Cambridge Systems Associates, UK) Ke Tang

Commodities

Fundamental Theory of Futures, Forwards, and Derivatives Pricing

M. A. H. Dempster (University of Cambridge & Cambridge Systems Associates, UK), Ke Tang

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English

Chapman & Hall/CRC
16 December 2022

Economic statistics; Investment & securities; Probability & statistics; Applied mathematics

Series: Chapman and Hall/CRC Financial Mathematics Series

Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets.

After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments.

Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil

Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals

Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds

Electricity Markets supplies an overview of the current and future modelling of electricity markets

Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

Edited by: M. A. H. Dempster (University of Cambridge & Cambridge Systems Associates UK), Ke Tang
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Edition: 2nd edition
Dimensions: Height: 254mm, Width: 178mm,
Weight: 1.860kg
ISBN: 9781032208176
ISBN 10: 1032208171
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 836
Publication Date: 16 December 2022
Audience: College/higher education , A / AS level
Format: Hardback
Publisher's Status: Active

M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, he has taught and researched in leading universities on both sides of the Atlantic and is founding editor-in-chief of Quantitative Finance and the Oxford Handbooks in Finance. Consultant to many global financial institutions, corporations and governments, he is regularly involved in research presentation and executive education worldwide. He is the author of over 110 research articles in leading international journals and 14 books; his work has won several awards and he is an honorary fellow of the UK Institute of Actuaries, a foreign member of the Academia Lincei (Italian Academy) and managing director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company. Ke Tang is a professor in the Institute of Economics, School of Social Science, Tsinghua University, where he teaches courses in economics and finance. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the University of California, Berkley in 2004, and his doctoral degree in Finance from Cambridge University in 2008. His research has covered such topics as commodity markets, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.