Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy

This book covers hard and soft commodities (energy, agriculture and metals) and analyses:

• Economic and geopolitical issues in commodities markets
• Commodity price and volume risk
• Stochastic modelling of commodity spot prices and forward curves
• Real options valuation and hedging of physical assets in the energy industry

It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds.

In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” 
—Robert Merton, Professor, Harvard Business School

"A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field."
—Oldrich Vasicek, founder, KMV

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All Customer Reviews
Average Customer Review:
0 of 0 people found the following review helpful:

Readable and Thorough Introduction, 2008-05-30
Two aspects of Prof. Geman's book are immediately distinguishing: it is quantitative and it is not propaganda. You won't read about how you can make millions trading commodities NOW! in this book; you will read about some of the quirks of these markets and how those quirks an affects the modeling.

Equally important is that I found the book eminently readable. As one reviewer noted, there are occasionally clumsy phrases that read like transliterated French; however, I preferred Geman's chapters to those written by "guest authors." Overall, the tone and order of exposition are so engaging that I read the book completely (instead of skimming or reading only for needed information).

The only suggestion I would make is to also purchase Dunsby et al.'s book on commodities; the two are great complements.


9 of 9 people found the following review helpful:

Not good, 2007-06-27
Having done some work in commodities, and more recently in commodities derivatives, I was looking forward to reading this book. Helyette Geman has an excellent reputation in both the academic "ivory tower" and the practitioner "real world". While the book definitely attempts to cover a large and hereto unmet demand, it does not deliver a coherent, consistent and careful analysis of the commodities markets.

In offering an introductory overview of commodities spot and futures markets, the book does a decent job. Chapters 1 - 6 are probably the best chapters in the book and reflect the good understanding and thought leadership of the author. These chapters would have benefited from some careful linguistic editing. Frequently, the text reads French although the book is written in English; this linguistic dissonance is at times frustrating.

The last eight chapters are quite uneven. Each chapter is supposed to describe and introduce a commodity market, such as ags, metals, energy, etc, but few of the chapters are able to fully penetrate the material. The chapters and the material in these chapters are uneven, often bordering to the somewhat disorganized, and occasionally challenging to follow a logical flow in the exposition. Granted, the mathematics are there and they are correct for the most time (some steps in chapter 12 only make sense when you switch around the notation, which can be annoying). The chapter on gas markets is somewhat confusing and the treatment of electricity markets is very uneven. The two better chapters in the second half of the book - on metals and oil - are not written by prof Geman.

Is this a useful book? Notwithstanding the problems, it is a useful book as long as the reader and user recognizes its limitations.


2 of 6 people found the following review helpful:

Disappointing, 2007-06-14
Mrs Geman is a refernce in the commodities world and I would have expected to see less talk and more models. I defnitely would not recommend this book to any quant who have to deal with the real world!


5 of 6 people found the following review helpful:

Excellent introduction to many aspects of commodities, 2007-01-03
As I had background in equity and credit derivatives I found the book to be an excellent introduction to commodities as it covers many aspects that I currently support at Barclays Capital as a technologist; the mathematical notations are not complicated and you can always dig deeper then the book. Definitly a book in your reference library.

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2 of 4 people found the following review helpful:

An Excellent, Comprehensive and Useful Resource, 2006-10-08
Geman's book is up to date, and covers all commodity markets. The author clearly has an in-depth understanding of most all markets discussed and something to teach us about modeling and trading these markets. It is not only an superb introduction to commodities and the traded derivatives, but surely an enhancement to the body of knowledge for the professional commodity trader. Even if you are a fixed income trader, this book belongs on your shelf.

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