Commodity price dynamics : a structural approach

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Title:

Author:

Pirrong, Stephen Craig, 1959-

ISBN:

9780521195898

Personal Author:

Pirrong, Stephen Craig, 1959-

Publication Information:

New York : Cambridge University Press, 2012.

Physical Description:

xiii, 224 p. : ill. ; 24 cm.

Contents:

Preface -- 1. Introduction -- 2. The basics of storable commodity modeling -- 3. High-frequency price dynamics for continuously produced commodities in a two-factor storage economy: implications for derivatives pricing -- 4. The empirical performance of the two-factor storage model -- 5. Stochastic fundamental volatility, speculation, and commodity storage -- 6. The pricing of seasonal commodities -- 7.The dynamics of carbon markets -- 8. The structural modeling of non-storables: electricity.

Abstract:

"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 commoditites 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 commoditites from aluminum to oil to soybeans to zinc"--Provided by publisher.

Subject Term:

Prices.

Prices -- Forecasting.

Commodity exchanges.

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025560265	332.6328 P672C 2012	1	Searching... Unknown

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Summary

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 aluminium to oil to soybeans to zinc.