Risk Management in Commodity Markets: From Shipping to by Helyette Geman

By Helyette Geman

A accomplished source for figuring out the complexities of agricultural finance

Agricultural Finance: From plants to Land, Water, and Infrastructure is a pioneering ebook that gives a finished source for knowing the global agriculture markets, from spikes in agricultural commodity costs to buying and selling ideas, and the agribusiness regularly to the demanding situations of feeding the planet particularly. The publication additionally is going in-depth at the issues of land, water, fertilizers, biofuels, and ethanol. Written by means of Helyette Geman—an specialist in commodity derivatives—this booklet explores the rural market and the cycles in agricultural commodity costs that may be the major to investor success.

This source addresses a variety of different very important themes in addition, together with agricultural coverage, strength, transport and bunker costs, sustainability, investments in land, subsidies, agricultural derivatives, and farming risk-management. different subject matters coated contain established items and agricultural commodities ETFs; alternate finance in an period of credits scarcity; securitization and commodity-linked notes; grains: wheat, corn, soybeans; softs: espresso, cocoa, cotton; transport as a key component to agricultural exchange; and the main agricultural transport routes and the prices. The book:

  • Offers the 1st entire source that bargains with the all features of agricultural finance
  • Includes info that's an important for pension cash, asset managers, hedge cash, agribusiness corporates, CTAs and regulators
  • Covers a number themes from agricultural bunker costs, futures, suggestions to significant delivery routes and the costs

This textual content is a must have source for gaining access to the data required to alternate effectively within the agricultural marketplace.

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Extra resources for Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy (The Wiley Finance Series)

Example text

Next, we define the seasonal premia s(M ), M = 1, . . , 12, attached to calendar months, as the collection of 12 long-term average premia with respect to the average forward price F(t). We assume that the vector (s(1), . . , s(12)) is deterministic and require that 12 M=1 s(M) = 0. 8) where the quantity γ (t, T − t), defined by the relationship above, is called the stochastic premium at date t (as opposed to the deterministic seasonal premium s(T )), associated with the maturity T . We denote the time to maturity τ = T − t and write γ (t, τ ) = γ (t, T − t), to emphasize that the stochastic premium γ is indexed by the time to maturity τ rather than the maturity date T (as is the case for the deterministic seasonal premium s(T )).

Note that similar products traded on the NYMEX may exhibit different seasonal premia, as those reflect the risk aversion of producers and speculators in each particular market to different types of events. 6 shows the volatility term structure of the stochastic premium γ (t, τ ), for natural gas and gasoil. Note that it mimics the behavior of the futures prices volatility, which decreases for more distant maturities (the so-called Samuelson effect). e. for two months to maturity. The mean of γ is indeed zero and the graph resembles a mean-reverting process.

This shift is called the rollover. It plays a key role in the management of commodity indices as the roll yield may be a positive or negative component in the total return, depending on the shape of the forward curve. Given the billions of dollars that have been recently poured into commodity markets, the rolling activity has itself an impact on the volatility of the nearby futures. g. crude oil) into more distant maturity forward contracts. Futures markets such as the ICE and NYMEX provide the most reliable and liquid forward curves.

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