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Suggested Chapter Readings from my
Risk Transfer: Derivatives in Theory & Practice book.
Lectures:
Lecture 1: Commodity Futures, Forwards, & Swaps
Lecture 2: Derivatives Trading & Clearing On and Off Exchange
Lecture 3: Forward Valuation Fundamentals: Stochastic Discount Factors vs. the Cost of Carry
Lecture 4: The Basis and the Term Structure of Forward/Futures Prices
Lecture 5: Interpreting Some Specific Forward Curves
Lecture 6: Hedging and the Speculative Risk Premium
Lecture 7: Hedge Ratios
Lecture 8: Commodity Swaps and Commodity Futures Strips
Lecture 9: Case Study: Metallgesellschaft
Lecture 10: Gold, Electricity, Emissions, and Weather
Lecture 11: Prepaid Forwards, Take-or-Pays, and Volumetric Production Payments
Lecture 12: Commodities Hedging and Project Finance
Recommended Reference Texts on Derivatives:
Chicago Board of Trade.
CBOT Handbook of Futures and Options
Hull, J.
Options, Futures, and Other Derivatives 7th Edition.
McDonald, R.
Derivatives Markets 3rd Edition.
Whaley, R.
Derivatives: Markets, Valuation, and Risk Management
Recommended Reference Texts on Asset Pricing:
Campbell et. al.
The Econometrics of Financial Markets
Cochrane. J.
Asset Pricing Rev. Edition.
Duffie, D.
Dynamic Asset Pricing Theory 3rd Edition.
Singleton, K.
Empirical Dynamic Asset Pricing
