Financial Modelling in Commodity Markets  book cover
1st Edition

Financial Modelling in Commodity Markets

ISBN 9780367442866
Published December 9, 2019 by Chapman and Hall/CRC
130 Pages - 106 B/W Illustrations

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Book Description

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

Table of Contents

Chapter 1: Commodity-linked Products

Chapter 2: Spot Price Modelling

Chapter 3: Forward Price Modelling

Chapter 4: Derivative Valuation

Chapter 5: Applications

Chapter 6: Essential Statistics and Data Analysis


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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.


"A concise survey of arbitrage pricing models for commodities, this book may serve as an introduction to the subject and a textbook for a course on commodity price modeling with an eye toward implementation."

Professor Andrea Roncoroni, ESSEC Business School

"This book represents a valuable synthesis of the most relevant classical concepts on commodity markets and of the related financial models. The theoretical arguments are presented in a clear and rigorous way, and a great effort is spent on proposing paradigmatic applications. A very informative methodological appendix assists the reader in grasping a great part of the computational details. I am strongly convinced that this work can effectively act as a textbook for high-level students as well as handbook for scholars."

—Professor Roy Cerqueti, Università degli Studi di Macerata

"Financial Modelling in Commodity Markets provides an accessible and clear introduction to important stochastic models for finance, with a special focus on energy markets. Different from competing textbooks, a particular emphasis is placed on the practical implementation of different models and techniques. The exercises at the end of each chapter represent a useful pedagogical tool. This book will be a valuable addition to the library of every graduate student and practitioner in the field."

Professor Claudio Fontana, University of Padova