Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. It provides detailed examples for using derivatives to manage prices by hedging, using futures, options and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time.
Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. It provides detailed examples for using derivatives to manage prices by hedging, using futures, options and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time.
Paul E. Peterson is a Clinical Professor of Finance at the University of Illinois at Urbana-Champaign. His primary focus is futures and options markets, particularly in relation to commodity prices and risk management. Other interests include marketing practices and pricing issues.
Inhaltsangabe
List of figures List of tables Preface CHAPTER 1. INTRODUCTION What is a Commodity? What is a Derivative? CHAPTER 2. TRADING FUTURES AND OPTIONS Pit Trading Electronic Trading CHAPTER 3. UNDERSTANDING AND INTERPRETING FUTURES PRICES How Futures Prices Are Quoted Measures of Trading Activity Interpreting Price Differences: Time, Space, and Form CHAPTER 4. MARGINS, CLEARING, DELIVERY, AND FINAL SETTLEMENT Margins in Futures Trading Margin Account Example Final Settlement via Delivery Final Settlement via Cash Settlement CHAPTER 5. MARKET REGULATION Futures as Contracts Contract Specifications Regulation by Exchanges Regulation by the Federal Government Self-Regulation by the Industry Applications in Other Sectors and Countries Appendix 5.1 CHAPTER 6. HEDGING WITH FUTURES The Role of Correlation Hedging Against a Price Increase Hedging Against a Price Decrease More on the Role of Correlation: An Example from the Corn Market Price Changes vs. Prices Levels: The Importance of Returns CHAPTER 7. HEDGING AND THE BASIS Hedging and Basis Changes Long Hedging and Basis Behavior Short Hedging and Basis Behavior CHAPTER 8. HEDGING ENHANCEMENTS Types of Hedges Rolling a Hedge Cross-Hedging CHAPTER 9. PROFIT MARGIN HEDGING AND INVERSE HEDGING Profit Margin Hedging Inverse Hedging CHAPTER 10. HEDGING AND BASIS TRADING Redefining the Basis and the Cash Price Commercial Hedging CHAPTER 11. BASIS TRADING AND ROLLING A HEDGE Rolling a Hedge to Capture a Favorable Basis Spread Impact on Hedging Results CHAPTER 12. SPECULATION WITH FUTURES Speculation vs. Investment Speculative Styles Commitments of Traders Speculative Participation in Commodity Futures CHAPTER 13. INTRODUCTION TO OPTIONS ON FUTURES How Options Work Options on Futures Options on Actuals CHAPTER 14. OPTION PRICING The Black Model Put-Call Parity Option Sensitivity and the Greeks Summary CHAPTER 15. PROFIT TABLES AND PROFIT DIAGRAMS Futures and Cash Positions: Linear Profits Options Positions: Nonlinear Profits Discussion CHAPTER 16. HEDGING WITH OPTIONS Option-Based Hedging Strategies Delta-Neutral Hedging Synthetic Futures and Options CHAPTER 17. SPECULATING WITH OPTIONS Intrinsic Value Strategies Time Value Strategies Volatility Strategies Spread Strategies CHAPTER 18. COMMODITY SWAPS Swaps and Forwards Swap Features and Applications The Market for Commodity Swaps Index
List of figures List of tables Preface CHAPTER 1. INTRODUCTION What is a Commodity? What is a Derivative? CHAPTER 2. TRADING FUTURES AND OPTIONS Pit Trading Electronic Trading CHAPTER 3. UNDERSTANDING AND INTERPRETING FUTURES PRICES How Futures Prices Are Quoted Measures of Trading Activity Interpreting Price Differences: Time, Space, and Form CHAPTER 4. MARGINS, CLEARING, DELIVERY, AND FINAL SETTLEMENT Margins in Futures Trading Margin Account Example Final Settlement via Delivery Final Settlement via Cash Settlement CHAPTER 5. MARKET REGULATION Futures as Contracts Contract Specifications Regulation by Exchanges Regulation by the Federal Government Self-Regulation by the Industry Applications in Other Sectors and Countries Appendix 5.1 CHAPTER 6. HEDGING WITH FUTURES The Role of Correlation Hedging Against a Price Increase Hedging Against a Price Decrease More on the Role of Correlation: An Example from the Corn Market Price Changes vs. Prices Levels: The Importance of Returns CHAPTER 7. HEDGING AND THE BASIS Hedging and Basis Changes Long Hedging and Basis Behavior Short Hedging and Basis Behavior CHAPTER 8. HEDGING ENHANCEMENTS Types of Hedges Rolling a Hedge Cross-Hedging CHAPTER 9. PROFIT MARGIN HEDGING AND INVERSE HEDGING Profit Margin Hedging Inverse Hedging CHAPTER 10. HEDGING AND BASIS TRADING Redefining the Basis and the Cash Price Commercial Hedging CHAPTER 11. BASIS TRADING AND ROLLING A HEDGE Rolling a Hedge to Capture a Favorable Basis Spread Impact on Hedging Results CHAPTER 12. SPECULATION WITH FUTURES Speculation vs. Investment Speculative Styles Commitments of Traders Speculative Participation in Commodity Futures CHAPTER 13. INTRODUCTION TO OPTIONS ON FUTURES How Options Work Options on Futures Options on Actuals CHAPTER 14. OPTION PRICING The Black Model Put-Call Parity Option Sensitivity and the Greeks Summary CHAPTER 15. PROFIT TABLES AND PROFIT DIAGRAMS Futures and Cash Positions: Linear Profits Options Positions: Nonlinear Profits Discussion CHAPTER 16. HEDGING WITH OPTIONS Option-Based Hedging Strategies Delta-Neutral Hedging Synthetic Futures and Options CHAPTER 17. SPECULATING WITH OPTIONS Intrinsic Value Strategies Time Value Strategies Volatility Strategies Spread Strategies CHAPTER 18. COMMODITY SWAPS Swaps and Forwards Swap Features and Applications The Market for Commodity Swaps Index
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