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

by M. A. H. Dempster (Editor), Ke Tang (Editor)

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. 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

836 pages, Kindle Edition

Published December 16, 2022

Reviews

[Sjors · Rating 3 out of 5]

An impressive collection of academic studies into pricing aspects of commodities futures. While I am in principle equipped to dig through the mathematics of these articles, I decided not to take the time to do so. I am an investor, certainly, but I don’t believe that working my way through the derivations and statistical analyses in this book will enhance my (actionable) understanding of the market dynamics, let alone be of any practical use to me.

I read through two of the articles that were investigating the correlation (if any, and if present, then how) between oil prices and the performance of S&P500 stocks (as a proxy of the wider economy), and was amused to see that they came to different conclusions. One concluded: yes, high oil prices precede reducing returns of the wider economy; the other, just the opposite. If the experts can’t land a fundamental question like this, then what good is studying all mighty mathematical apparatus going to do me?