SECTION I: OIL PRODUCTS Inconvenience Yield, or the Theory of Normal Contango Ilia Bouchouev Determinants of Oil Futures Prices and Convenience Yields M. A. H. Dempster, Elena Medova, and Ke Tang Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor Model Kenichiro Shiraya and Akihiko Takahashi An Empirical Study of the Impact of Skewness and Kurtosis on Hedging Decisions Jing-Yi Lai Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova, and Ke Tang Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andres Garcia Mirantes, Javier Poblacion and Gregorio Serna Quantitative Spread Trading on Crude Oil and Refined Products Markets Mark Cummins and Andrea Bucca SECTION II: OTHER COMMODITIES Inversion of Option Prices for Implied Risk-Neutral Probability Density Functions: General Theory and Its Applications to the Natural Gas Market Yijun Du, Chen Wang, and Yibing Du Investing in the Wine Market: A Country-Level Threshold Cointegration Approach Lucia Baldi, Massimo Peri, and Daniela Vandone Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang, and Ke Tang The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey, and Peter G. Szilagyi Gold and the U.S. Dollar: Tales from the Turmoil Paolo Zagaglia, Massimiliano, Marzo A Flexible Model of Term-Structure Dynamics of Commodity Prices: A Comparative Analysis with a Two-Factor Gaussian Model Hiroaki Suenaga Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China Lei Cui, Ke Huang, and H.J. Cai SECTION III: COMMODITY PRICES AND FINANCIAL MARKETS Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy Higuera Time-Frequency Analysis of Crude Oil and S&P500 Futures Contracts Joseph McCarthy and Alexei G. Orlov Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH Model Elyas Elyasiani, Iqbal Mansur, and Babatunde Odusami Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity Prices Michael Graham, Jarno Kiviaho, and Jussi Nikkinen Portfolio Selection with Commodities Under Conditional Copulas and Skew Preferences Carlos Gonzalez-Pedraz, Manuel Moreno, and Juan Ignacio Pena Strategic Commodity Allocation Pierre Six Long-Short Versus Long-Only Commodity Funds John M. Mulvey Commodity Markets Through the Business Cycle Julien Chevallier, Mathieu Gatumel, and Florian Ielpo The Dynamics of Commodity Prices Chris Brooks and Marcel Prokopczuk A Hybrid Commodity and Interest Rate Market Model Kay F. Pilz and E. Schloegl SECTION IV: ELECTRICITY MARKETS Modelling the Distribution of Day-Ahead Electricity Returns: A Comparison Alessandro Sapio Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Eivind Helland, Timur Aka, and Eric Winnington Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison, and Tino Kluge Efficient Pricing of Swing Options in Levy-Driven Models Oleg Kudryavtsev and Antonino Zanette Hedging Strategies for Energy Derivatives Peter Leoni, Nele Vandaele, and Michele Vanmaele The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels Rene Carmona, Michael Coulon, and Daniel Schwarz Is the EUA a New Asset Class? Vicente Medina and Angel Pardo Index
Michael A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Carnegie Mellon and Oxford, 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. Before joining Tsinghua in 2014, he was a professor in the Hanqing Advanced Institute of Economics and Finance, Renmin University of China. He received his B.A. in Engineering from Tsinghua University in 2000, Master of Financial Engineering from 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, Internet finance and Chinese stock markets. He has published many papers including The Review of Financial Studies, Annual Review of Financial Economics, and the Journal of Banking and Finance. He is currently the managing editor of Quantitative Finance.