Commodity Option Pricing: A Practitioner's Guide

343 Pages·2014·4.51 MB·English

by  Iain J. Clark

“Ithasbeenveryhardtofindacomprehensiveoptionpricingbookcover-
ing all exchange-traded commodities, until Iain Clark’s book. Commodity
OptionPricingisamust-readforoptiontraders,riskmanagersandquantita-
tiveanalysts.Theauthorcombinesacademicrigorwithreal-worldexamples.
Practitioners can find an extremely useful toolkit in option pricing and an
excellentintroductiontovariouscommodities.”
JosephY.Chen,Chief,MarketAnalytics,Nexen
“Beinghimselfapractitionerwithawealthofexperience,Iainknowswhat
is relevant to the daily work of commodities trading desks. He uses his
remarkablepedagogicalskillstodevelopthereader’sintuitionforthemod-
els and products before delving into the practicalities of the commodities
markets.Manyofthedetailscoveredinthisbookcannotbefoundelsewhere
intheliterature.Iampleasedtorecommendthisbooktoquantsandtraders,
whowillsoonfindthemselvesrelyingonitintheirdailywork.”
PaulBilokon,Director,DeutscheBank
“Option pricing analytics for trading commodity derivatives can be quite
differentfromthoseofequityandfixedincomederivatives.Thisbookfills
agapincurrentliteraturebypresentingacomprehensivetreatiseontherisk
characteristicsassociatedwithpricingandhedgingcommodityderivatives.
Theauthorstrikesafinebalancebetweenoptionpricingtheoryandfinancial
practiceinthemarkets.Thematerialsaresuccinctlywritten,withclearand
insightful descriptions of the features of various commodity markets and
state-of-the-artpricingmodels.Thisbookisdestinedtobeavaluableprac-
ticalguideforpractitionersandausefulacademicreferenceforresearchers
intradingandunderstandingcommoditiesderivatives.”
Yue Kuen Kwok, Professor, Department of Mathematics, Hong Kong
UniversityofScienceandTechnology

Commodity Option Pricing
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Commodity Option Pricing
A Practitioner’s Guide
Iain J. Clark
Thiseditionfirstpublished2014
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LibraryofCongressCataloging-in-PublicationData
Clark,IainJ.
Commodityoptionpricing:apractitionersguide/IainJ.Clark.
pagescm
Includesbibliographicalreferencesandindex.
ISBN978-1-119-94451-5(cloth)
1.Commodityoptions. 2.Options(Finance)–Prices. I.Clark,IainJ. II.Title.
HG6046.C57362014
332.63′28–dc23
2013051276
AcataloguerecordforthisbookisavailablefromtheBritishLibrary.
ISBN978-1-119-94451-5(hbk)ISBN978-1-444-36240-4(ebk)
ISBN978-1-444-36241-1(ebk)ISBN978-1-118-87178-2(ebk)
CoverimagesreproducedbypermissionofShutterstock.com
Setin11/13ptTimesbyAptaraInc.,NewDelhi,India
PrintedinGreatBritainbyTJInternationalLtd,Padstow,Cornwall,UK
ForElizabethClark (born July2013).
Whomadethe completion ofthisbook achallenge– inthe
nicestpossibleway.