The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

• Economic and geopolitical issues in commodities markets
• Commodity price and volume risk
• Stochastic modelling of commodity spot prices and forward curves
• Real options valuation and hedging of physical assets in the energy industry

It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.”
—Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
—Oldrich Vasicek, founder, KMV

New feature

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as university endowments, and has resulted in substantial growth in spot derivative trading.

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

• Economic and geopolitical issues in commodities markets
• Commodity price and volume risk
• Stochastic modelling of commodity spot prices and forward curves
• Real options valuation and hedging of physical assets in the energy industry.

It is required reading for energy companies and utilities practitioners, Commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

"In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject."
–Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
–Oldrich Vasicek, founder, KMV

Fundamentals of commodity spot and futures markets Equilibrium relationships between spot prices and forward prices Stochastic modelling of commodity price processes Plain-vanilla option pricing and hedging Risk-neutral valuation of plain-vanilla options Monte-Carlo simulations and analytical formulae for Asian, barrier, and quanto options Agricultural commodity markets The structure of metal markets and metal prices The oil market as a world market The gas market as the energy market of the next decades Spot and forward electricity markets Commodity swaptions, swing, and take-or-pay contracts and real options In the energy industry -- Coal, emissions, and weather Commodities as a new asset class.