Section I. Oil Products Chapter 1. The
Volatility Risk Premium in the Oil MarketI. Bouchouev
and Brett JohnsonChapter 2. Determinants of Oil
Futures Prices and Convenience Yields M.A.H. Dempster,
Elena Medova and Ke Tang
Chapter 3. Pricing and Hedging of Long-Term Futures and
Forward Contracts with a Three-Factor ModelKenichiro
Shiraya and Akihiko Takahashi
Chapter 4 Planning Logistics Operations in the Oil
Industry M.A.H. Dempster, N. Hicks Pedron, E.A.
Medova, J.E. Scott and A. Sembos Chapter 5. Analysing
the Dynamics of the Refining Margin: Implications for Valuation and
Hedging Andres Garcia Mirantes, Javier Poblacion and
Gregorio Serna
Chapter 6. Long-Term Spread Option Valuation and
Hedging M.A.H. Dempster, Elena Medova and Ke
TangSection II. Other Commodities
Chapter 7. A Rough Multi-Factor Model of Electricity Spot
Prices Mikkel BennedsenChapter 8.
Investing in the Wine Market: A Country-Level Threshold
Cointegration ApproachLucia Baldi, Massimo Peri and
Daniela Vandone
Chapter 9. Cross-Market Soybean Futures Price Discovery:
Does the Dalian Commodity Exchange Affect the Chicago Board of
Trade? Liyan Han, Rong Liang and Ke
TangChapter 10. The Structure of Gold and Silver
Spread Returns Jonathan A. Batten, Cetin Ciner, Brian
M. Lucey and Peter G. Szilagyi Chapter 11. Gold and
the US dollar: Tales from the Turmoil Paolo Zagaglia
and Massimiliano MarzoChapter 12. Application of a
TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal
Futures Market in ChinaLei Cui, Ke Huang and H.J.
CaiChapter 13 Multivariate Continuous-Time Modeling of
Wind Indexes and Hedging of Wind Risk Fred E. Benth,
Troels S. Christensen and Victor RohdeSection III.
Commodity Prices and Markets Chapter 14.
Short-Horizon Return Predictability and Oil Prices
Jaime Casassus and Freddy Higuera
Chapter 15. Time-Frequency Analysis of Crude Oil and
S&P 500 Futures Contracts Joseph McCarthy and
Alexei G. Orlov Chapter 16 Sectoral Stock
Return Sensitivity to Oil Price Changes: A
Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal
Mansur and Babatunde. OdusamiChapter 17 Long-Short
Versus Long-Only Commodity Funds John M.
MulveyChapter 18. The Dynamics of Commodity
Prices Chris Brooks and Marcel Prokopczuk
Chapter 19. Short-Term and Long-Term Dependencies of the
S&P 500 Index and Commodity PricesMichael Graham,
Jarno Kiviaho and Jussi NikkinenChapter 20. Commodity
Markets through the Business Cycle Julien Chevallier,
Mathieu Gatumel and Florian IelpoChapter 21. A Hybrid
Commodity and Interest Rate Market Model Kay F. Pilx
and Erik SchloegIChapter 22. Valuation of Gas Sales
Agreements with Indexation Using Tree and Least- Squares Monte
Carlo Methods on Graphics Processing Units W. Dong and
B. KangSection IV. Electricity Markets
Chapter 23. Modeling the Distribution of Day-Ahead
Electricity Returns: A ComparisonSandro
SapioChapter 24. Stochastic Spot Price Multi-Period
Model and Option Valuation for Electrical Markets
Elvind Helland, Timur Aka and Eric
WinningtonChapter 25. Modelling Spikes and Pricing
Swing Options in Electricity Markets Ben Hambly, Sam
Howison and Tino KlugeChapter 26. Efficient Pricing of
Swing Options in Levy-Driven ModelsOleg Kudryavtsev
and Antonino ZanetteChapter 27. The Valuation of Clean
Spread Options: Linking Electricity, Emissions and
FuelsRene Carmona, Michael Coulon and Daniel
SchwartzChapter 28. Is EUA a New Asset
Class?Vicente Medina and Angel
PardoSection V. Contemporary Topics
Chapter 29. Volatility Is RoughJim Gatheral,
Thibault Jaisson and Mathieu Rosenbaum Chapter 30.
Algorithmic Trading in a Microstructural Limit Order Book
Model Frederic Abergel, Come Hure and Huyen Pham
Chapter 31. Cryptocurrency Liquidity During Extreme Price
Movements: Is There a Problem with Virtual Money?
Viktor Manahov Chapter 32. Identifying the
Influential Factors of Commodity Futures Prices through a New Text
Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu
and Yanzhen Yao Chapter 33. Classification of Flash
Crashes Using the Hawkes (p,q) FrameworkAlexander
Wehrli and Didier Sornette
M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, he has taught and researched in leading universities on both sides of the Atlantic and is founding editor-in-chief of Quantitative Finance and the Oxford Handbooks in Finance. Consultant to many global financial institutions, corporations and governments, he is regularly involved in research presentation and executive education worldwide. He is the author of over 110 research articles in leading international journals and 14 books; his work has won several awards and he is an honorary fellow of the UK Institute of Actuaries, a foreign member of the Academia Lincei (Italian Academy) and managing director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.Ke Tang is a professor in the Institute of Economics, School of Social Science, Tsinghua University, where he teaches courses in economics and finance. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the University of California, Berkley in 2004, and his doctoral degree in Finance from Cambridge University in 2008. His research has covered such topics as commodity markets, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.
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