Abstract
This chapter is dedicated to the pricing and risk management of financial derivatives for which the underlying is a commodity. The asset class of commodities is vast and can roughly be subdivided into energy, agriculture, base metals and precious metals, see Fig. 12.1 for some examples of commodities in each class. Each commodity has its own characteristics that need to be accounted for in the modeling. Nevertheless, our goal is to set up a general framework that can guide the reader in the modeling of derivatives that depend on any type of commodity.
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© 2011 Springer-Verlag Berlin Heidelberg
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Ekstrand, C. (2011). Commodities. In: Financial Derivatives Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-22155-2_12
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DOI: https://doi.org/10.1007/978-3-642-22155-2_12
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