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Preface | p. ix |
Introduction | p. 1 |
Introduction | p. 1 |
A Commodity Taxonomy | p. 4 |
Commodity Markets and Data | p. 6 |
An Overview of the Remainder of the Book | p. 8 |
Modeling Storable Commodity Prices | p. 9 |
A Two-Factor Model of a Continuously Produced Commodity | p. 9 |
The Empirical Performance of the Two-Factor Model | p. 10 |
Commodity Pricing with Stochastic Fundamental Volatility | p. 10 |
The Pricing of Seasonally Produced Commodities | p. 11 |
The Pricing of Pollution Credits | p. 11 |
Non-Storable Commodities Pricing: The Case of Electricity | p. 12 |
Where This Book Fits in the Literature | p. 12 |
The Basics of Storable Commodity Modeling | p. 18 |
Introduction | p. 18 |
Dynamic Programming and the Storage Problem: An Overview | p. 20 |
Model Overview | p. 20 |
Competitive Equilibrium | p. 22 |
The Next Step: Determining the Forward Price | p. 24 |
Specifying Functional Forms and Shock Dynamics | p. 27 |
A More Detailed Look at the Numerical Implementation | p. 30 |
Solving a PDE Using Finite Differences: The One-Dimensional Case | p. 36 |
Solving the 2D PDE | p. 39 |
Boundary Conditions | p. 40 |
Summary | p. 42 |
High-Frequency Price Dynamics for Continuously Produced Commodities in a Two-Factor Storage Economy: Implications for Derivatives Pricing | p. 44 |
Introduction | p. 44 |
A Model of the Storage Economy with a Continuously Produced Commodity | p. 47 |
Introduction | p. 47 |
Framework and Numerical Solution | p. 47 |
Moments and the State Variables | p. 49 |
Derivatives Pricing | p. 54 |
Extension: Storage Capacity Constraints | p. 65 |
Extension: The Effects of Speculation on Price Dynamics in the Storage Economy | p. 67 |
Summary and Conclusions | p. 71 |
The Empirical Performance of the Two-Factor Storage Model | p. 73 |
Introduction | p. 73 |
Empirical Tests of the Theory of Storage: A Brief Literature Review | p. 75 |
An Alternative Empirical Approach | p. 77 |
Overview | p. 77 |
The Extended Kalman Filter | p. 80 |
Parameter Choices and Data | p. 83 |
Results | p. 84 |
The Implications of the Model for the Speculation Debate | p. 100 |
Summary and Conclusions | p. 107 |
Stochastic Fundamental Volatility, Speculation, and Commodity Storage | p. 109 |
Introduction | p. 109 |
Speculation and Oil Prices | p. 114 |
The Storage Economy | p. 116 |
Equilibrium Competitive Storage | p. 118 |
Solution of the Storage Problem | p. 119 |
Results: Storage, Prices, and Spreads | p. 120 |
Results: The Time Series Behavior of Prices, Stocks, and Volatility | p. 124 |
Some Other Empirical Evidence | p. 126 |
Conclusions | p. 128 |
The Pricing of Seasonal Commodities | p. 131 |
Introduction | p. 131 |
The Model | p. 134 |
Results | p. 137 |
Empirical Evidence | p. 145 |
Alternative Explanations for the Empirical Regularities | p. 152 |
Preferences | p. 152 |
Inventories as a Factor of Production | p. 155 |
Multiple Storable Commodities | p. 157 |
Summary and Conclusions | p. 162 |
The Dynamics of Carbon Markets | p. 164 |
Introduction | p. 164 |
The Model | p. 166 |
Results | p. 170 |
Summary | p. 178 |
The Structural Modeling of Non-Storables: Electricity | p. 181 |
Introduction | p. 181 |
Electricity Markets | p. 183 |
A Structural Model for Pricing Electricity Derivatives | p. 185 |
Model Implementation | p. 194 |
Commonly Traded Power Options | p. 198 |
Daily Strike Options | p. 198 |
Monthly Strike Options | p. 199 |
Spark Spread Options | p. 199 |
Valuation Methodology | p. 200 |
Daily Strike and Monthly Strike Options | p. 200 |
Spark Spread Options | p. 201 |
Results | p. 202 |
Complications | p. 211 |
Summary and Conclusions | p. 214 |
References | p. 217 |
Author Index | p. 221 |
Subject Index | p. 223 |
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The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.