Neil C. Schofield's Commodity Derivatives: Markets and Applications (The Wiley PDF

By Neil C. Schofield

ISBN-10: 0470019107

ISBN-13: 9780470019108

In Commodity Derivatives: Markets and Applications, Neil Schofield offers a whole and obtainable reference for someone operating in, or learning commodity markets and their linked derivatives. Dealing basically with over-the-counter buildings, the publication offers wide insurance of either difficult and delicate commodities, together with gold, crude oil, electrical energy, plastics, emissions and agriculturals.
Using buildings designated to the person marketplace, each one bankruptcy contains an evidence of the commodity and an research of its actual industry, dialogue at the normal styles of call for and provide and the most components that might impact the cost of the commodity, and the most products.
Each bankruptcy makes a speciality of how the goods should be used alongside the actual provide chain and seeks to spot the most marketplace hazards and the way they are often hedged. The ebook then brings into standpoint how the structuring banks hedge their very own resultant publicity and examines the charm of OTC funding buildings for the wholesale market.
Commodity Derivatives: Markets and Applications is vital examining for these wishing to profit concerning the major positive factors of the commodity markets, the mechanics of derivatives, and the way they're utilized.

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Extra resources for Commodity Derivatives: Markets and Applications (The Wiley Finance Series)

Example text

Having sold the gold spot and borrowed to cover the sale, the bank is now holding dollar proceeds. Since the bank would be seeking to manage its cash balances prudently, these dollars would now be invested until the producer delivers the gold. As a result it is possible at the inception of the forward trade to identify all the associated cashflows, allowing the bank to quote a “fair value” or theoretical price that will ensure no loss at the point of delivery, irrespective of the prevailing price.

This poses another question: Who are the shorter-dated sellers and who are the longer-dated buyers? This role is filled by entities that have no underlying economic commodity exposure but are willing to take views on the slope of the curve. For example, let us assume that the forward curve for a particular commodity is steeply inverted but a hedge fund believes that the slope between the 3-month and 12-month forward will gradually flatten. They could execute a trade that would involve the simultaneous sale of a short-dated forward (or future) and the purchase of the longer-dated contract.

1 Deriving forward prices: market in contango Within the commodities world, there are two ways of describing the state of a forward market – contango or backwardation. Contango describes a situation where the price for forward delivery is higher than the price for spot delivery, while backwardation exists when the forward price is below the spot price. Although both of these states exist in the pricing of traditional financial products, the role of the underlying physical markets in commodities is much more important, particularly when demand exceeds supply.

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Commodity Derivatives: Markets and Applications (The Wiley Finance Series) by Neil C. Schofield


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