Preface | |
Acknowledgements | |
About the Author | |
An Introduction to Derivative Products | |
Forwards and futures | |
Swaps | |
Options | |
Derivative pricing | |
Relative Value | |
The spot-forward relationship | |
Deriving forward prices: market in contango | |
Deriving forward prices: market in backwardation | |
The spot-forward-swap relationship | |
The spot-forward-option relationship | |
Put-call parity: a key relationship | |
Sources of value in a hedge | |
Measures of option risk management | |
Delta | |
Gamma | |
Theta | |
Vega | |
Risk Management | |
Categories of risk | |
Defining risk | |
Credit risk | |
Commodity market participants: the time dimension | |
Short-dated maturities | |
Medium-dated maturities | |
Longer-dated exposures | |
Hedging corporate risk exposures | |
A framework for analysing corporate risk | |
Strategic considerations | |
Tactical considerations | |
Bank risk management | |
Hedging customer exposures | |
Forward risk management | |
Swap risk management | |
Option risk management | |
Correlation risk management | |
View-driven exposures | |
Spot-trading strategies | |
Forward trading strategies | |
Single period physically settled "swaps." | |
Single or multi-period financially settled swaps | |
Option-based trades: trading volatility | |
Gold | |
The market for gold | |
Physical Supply Chain | |
Financial Institutions | |
The London gold market | |
The price of gold | |
Fixing the price of gold | |
Gold price drivers | |
The supply of gold | |
Demand for gold | |
The Chinese effect | |
The gold leasing market | |
Applications of derivatives | |
Producer strategies | |
Central Bank strategies | |
Base Metals | |
Base metal production | |
Aluminium | |
Copper | |
London metal exchange | |
Exchange-traded metal futures | |
Exchange-traded metal options | |
Contract specification | |
Trading | |
Clearing | |
Delivery | |
Price drivers | |
Structure of market prices | |
Description of the forward curve | |
Are forward prices predictors of future spot prices? | |
Applications of derivatives | |
Hedges for aluminium consumers in the automotive sector | |
Forward purchase | |
Borrowing and lending in the base metal market | |
Vanilla option strategies | |
Synthetic long put | |
Selling options to enhance the forward purchase price | |
"Three way." | |
Min-max | |
Ratio min-max | |
Enhanced risk reversal | |
Structured option solutions | |
Knock-out forwards | |
Forward plus | |
Bonus forward | |
Basket options | |
5 Crude Oil | |
The value of crude oil | |
Basic chemistry of oil | |
Density | |
Sulphur content | |
Flow properties | |
Other chemical properties | |
Examples of crude oil | |
An overview of the physical supply chain | |
Refining crude oil | |
Applications of refined products | |
The demand and supply for crude oil | |
Proved oil reserves | |
R/P ratio | |
Production of crude oil | |
Consumption of crude oil | |
Demand for refined products | |
Oil refining capacity | |
Crude oil imports and exports | |
Se | |
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