Financial Modelling in Commodity Markets (Chapman and Hall/CRC Financial Mathematics Series) - Hardcover

Fanelli, Viviana

Hardcover

ISBN 10: 1138739103 ISBN 13: 9781138739109

Publisher: Chapman and Hall/CRC, 2019

Synopsis

Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets.

The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity markets. It discusses statistical and mathematical tools important for estimating, implementing and calibrating quantitative models used for pricing and trading commodity-linked products and for managing basic and complex portfolio risks.

Key features:

• Provides a step-by-step guide to the construction of pricing models, and for the applications of such models for the analysis of real data
• Written for scholars from a wide range of scientific fields, including economics and finance, mathematics, engineering and statistics, as well as for practitioners
• Illustrates some important pricing models using real data sets that will be commonly used in financial markets

About this title

About the Author

Viviana Fanelli is Associate Professor of Mathematical Methods of Economics, Actuarial Science and Finance at the University of Bari Aldo Moro in Italy. She has also been an advisor at Mantho Solutions Ltd., London, where she focused on mathematical modelling and quantitative analysis. She has been appointed as course leader on financial risk management at a GARP-ERP Certification Program and as lecturer in energy finance at MIP - Polytechnic of Milan. Her research interests cover commodity finance, asset pricing, arbitrage strategies, dynamic models, interest rate and credit risk modelling. She regularly publishes in academic journals, including Quantitative Finance, European Journal of Operational Research, Applied Energy and Nonlinear Analysis RWA. Viviana holds a PhD in mathematical methods for financial and economic decisions.

Edition details

• Publisher: Chapman and Hall/CRC
• Publication date: 2019
• Language: English
• ISBN 10: 1138739103
• ISBN 13: 9781138739109
• Binding: Hardcover
• Edition number: 1
• Number of pages: 130