Commodity Derivatives: Markets and Applications

ISBN-13: 9781119349105 / Angielski / Twarda / 2021 / 544 str.

Neil C. (Barclays Capital) Schofield

Spis treści

Preface xiChapter 1 Fundamentals of Commodities and Derivatives 11.1 Market overview 21.2 Market participants 31.3 Traded versus non-traded commodities 61.4 Forward contracts 81.5 Futures 81.6 Swaps 101.7 Options 111.8 Exotic options 14Chapter 2 Derivative Valuation 182.1 Asset characteristics 182.2 Commodity prices and the economic cycle 182.3 Principles of commodity valuation 192.4 Forward price curves 212.5 Commodity swap valuation 322.6 Principles of option valuation 392.7 Measures of option risk management 44Chapter 3 Risk Management Principles 583.1 Defining risk 583.2 Commodity market participants - the time dimension 603.3 Hedging corporate risk exposures 613.4 A framework for analysing corporate risk 623.5 Hedging customer exposures 633.6 Trading risk management 66Chapter 4 Gold 764.1 The market for gold 764.2 Gold price drivers 814.3 The gold leasing and deposit market 914.4 Hedging 964.5 Trading gold 1064.6 Yield enhancement 1114.7 Summary 112Chapter 5 Base Metals 1145.1 Overview of base metal production 1145.2 The copper lifecycle 1155.3 Aluminium 1195.4 The Steel market 1205.5 The London Metal Exchange 1225.6 Base metal price drivers 1305.7 Electric Vehicles 1335.8 Structure of market prices 1345.9 Hedges for aluminium consumers in the automotive sector 1395.10 Summary 157Chapter 6 Crude Oil 1596.1 Overview of energy markets 1596.2 The value of crude oil 1596.3 An overview of the physical supply chain 1636.4 Refining crude oil 1656.5 The demand for and supply of crude oil 1726.6 Price drivers 1796.7 The price of crude oil 1896.8 Trading crude oil and refined products 195Notes 2096.9 Managing price risk along the supply chain 212Chapter 7 Natural Gas 2377.1 Formation of natural gas 2377.2 Measuring natural gas 2387.3 The physical supply chain 2387.4 Deregulation and re-regulation 2427.5 The demand for and supply of natural gas 2457.6 Natural gas prices 2507.7 Natural gas price drivers 2577.8 Trading natural gas 2607.9 Natural gas derivatives 263Chapter 8 Electricity 2808.1 What is electricity? 2808.2 The physical supply chain 2838.3 Market structure and regulation 2858.4 Price drivers of electricity 2918.5 Trading electricity - an overview 3018.6 Electricity derivatives 313Chapter 9 Plastics 3329.1 The chemistry of plastic 3329.2 The production of plastic 3339.3 Monomer production 3349.4 Polymerisation 3349.5 Applications of plastics 3359.6 Summary of the plastics supply chain 3369.7 Price determination 3369.8 Plastic price drivers 3379.9 Forwards and swaps 3389.10 Option strategies 340Chapter 10 Bulk Commodities 34110.1 The basics of coal 34110.2 The demand for and supply of coal 34310.3 Coal - the physical supply chain 34610.4 Coal derivatives 34910.5 Iron ore 35310.6 Freight markets - the fundamentals 355Chapter 11 Climate and Weather 36811.1 The science of climate change 36811.2 The consequences of climate change 37111.3 The argument against climate change 37211.4 History of human action against climate change 37311.5 Price drivers of emissions markets 37611.6 EU Emission Trading System 37911.7 Emission derivatives 38411.8 Weather derivatives 388Chapter 12 Agriculture 39412.1 Agricultural markets 39412.2 Definitions 39412.3 Agricultural products 39512.4 Soft commodities 40312.5 Ethanol 40912.6 Price drivers 41212.7 Exchange traded agricultural and ethanol derivatives 42112.8 Over-the-counter agricultural derivatives 426Chapter 13 Commodity-Linked Financing 43313.1 The financing need 43313.2 Project finance 43713.3 Working capital and the asset conversion cycle 44013.4 Longer-term debt funding solutions 454Chapter 14 Commodity Investing 46314.1 Commodity investors 46314.2 Preferred instruments 46514.3 Market size 46514.4 Rationale for investing in commodities 46614.5 Commodity indices 46914.6 Total Return Swaps 47814.7 Exchange traded products (ETPs) 48114.8 Structured products 487Glossary 499Bibliography 507Biography 510Index 511

O autorze

Neil Schofield is the Principal of FMT Ltd, a UK-based firm offering training services in treasury, derivatives, capital markets, and risk management to financial institutions, central banks, and corporations worldwide. From 2001 to 2008 he was Global Head of Financial Markets Training at Barclays Investment Bank.