Commodity Price Dynamics: A Structural Approach

ISBN-13: 9780521195898 / Angielski / Twarda / 2011 / 240 str.

Craig Pirrong

Opis

Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling and extreme movements in the prices of commodities from aluminum to oil to soybeans to zinc."

Recenzje

'Pirrong's book is a rich and thorough treatment of dynamic models of commodity price determination, particularly metals prices.' Kenneth J. Singleton, Stanford University

Spis treści

Preface; 1. Introduction; 2. Storables modeling basics; 3. Continuously produced commodity price dynamics; 4. Empirical performance of the two-factor model; 5. Stochastic volatility; 6. Seasonal commodities; 7. Carbon markets; 8. Non-storable commodities.