Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

The aim of the paper is to analyze the diversification effect brought by crude oil Futures
contracts, the most liquid commodity Futures, into a portfolio of stocks. The studies that have …

Deregulation of energy commodity markets in the last decade, together with the growth of
world consumption and the attractive returns on commodities over the period 2000-2007 …

A comprehensive resource for understanding the complexities of agricultural finance
Agricultural Finance: From Crops to Land, Water, and Infrastructure is a pioneering book that …

The study aims to quantify the risk between oil and a broad sample of commodities using
copulae tools to model the dependence structures. Using daily returns of commodity futures …

In this paper a techno-economic evaluation method for deep renovation of buildings is
introduced. We study the validation of an integrated design methodology based upon the …

This paper investigates the valuation and hedging of spread options on two commodity
prices which in the long run are in dynamic equilibrium (ie cointegrated). The spread …

Many analysts believe that natural gas will have an increasingly important role in the next
few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to …

The single factor stochastic diffusion processes most commonly used for Real Options
Valuation are the Geometric Brownian Motion and Mean Reversion Models. Nonetheless …

We analyze long-term memory properties of hourly prices of electricity in the Czech Republic
between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles …