By René Aïd, Michael Ludkovski, Ronnie Sircar
This quantity is a suite of chapters overlaying the newest advancements in functions of monetary arithmetic and facts to subject matters in power, commodity monetary markets and environmental economics. The learn awarded relies at the displays and discussions that happened in the course of the Fields Institute concentration software on Commodities, power and Environmental Finance in August 2013. The authors contain utilized mathematicians, economists and practitioners, delivering for a multi-disciplinary spectrum of views at the topic.
The quantity involves 4 sections: electrical energy Markets; actual techniques; buying and selling in Commodity Markets; and Oligopolistic versions for strength construction. Taken jointly, the chapters supply a accomplished precis of the present state-of-the-art in quantitative research of commodities and effort finance. the themes lined contain structural versions of electrical energy markets, financialization of commodities, valuation of commodity actual thoughts, game-theory research of exhaustible source administration and research of commodity ETFs. the quantity additionally contains survey articles that supply a resource for brand spanking new researchers drawn to entering into those subject matters.
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Extra info for Commodities, Energy and Environmental Finance
New generations of indexes have chosen to optimize the roll return which was traditionally left to the backwarda- 28 R. Carmona tion/contango transitions. Among the most successful of this new breed of indexes, the Deutsche Bank Optimum Yield Commodity Index rolls according to a formula rather than simply rolling month to month. The formula seeks to achieve the best roll return possible given the shape of the forward curve at the time of the roll. Instead of rolling a contract nearing maturity into the nearest available maturity contract, the roll algorithm chooses the maturity with the best implied annual roll yield, as long as some liquidity constraints are satisfied.
Perspect. Pol. 33, 1–31 (2011) 17. : Some Aspects of Commodity Markets. Manchester Guardian Commercial: European Reconstruction Series, Sect. 13, March 29 (1923) 18. : A Treatise of Money, vol. 2. Macmillan, London (1950) 19. : Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. Am. Econ. Rev. 99, 1053–1069 (2009) 20. : The role of inventories and speculative trading in the global market for crude oil. J. Appl. Econ. 29(3) 454–478 (2013) 21. : The role of speculation in oil markets: what have we learned so far?
Brookings Papers on Economic Activity, pp. 215–259 (2009) 14. : Effects of index-fund investing on commodity futures prices. C. San Diego (2012) 15. : New evidence on the financialization of the commodity markets. Technical Report, George Washington University, July 22 (2013) 16. : Index funds, financialization, and commodity futures markets. Appl. Econ. Perspect. Pol. 33, 1–31 (2011) 17. : Some Aspects of Commodity Markets. Manchester Guardian Commercial: European Reconstruction Series, Sect. 13, March 29 (1923) 18.