PPGECO 410 - Commodity Futures and Options

Tópicos

This course will provide an overview of the concepts needed to use futures and options markets as risk management tools, focusing mainly on the commodity markets. Part of the course will be based on lectures covering topics such as the relationship between a commodity’s cash and futures prices, hedging and speculative strategies involving futures and options contracts, and spreads. Traditional option pricing models will be presented, such as the binomial, the Black-Scholes-Merton and the Black models. This course will also cover the discussion of selected papers in the literature of futures and options markets. Paper discussion will also include the application of econometric time series models and their use in the related field. Students are required to develop a research project that includes any of the discussed topics during the course.

Bibliografia

  • BLACK, F. The pricing of commodity contracts. Journal of Financial Economics, 3,167-179, 1976
  • BLACK, F; SCHOLES, M. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, v. 81, n. 3, pp. 637 - 659, May/Jun., 1973.
  • CHEN, S.; LEE C.; SHRESTHA, K. Futures hedge ratios: a review. The Quarterly Review of Economics and Finance, Urbana-Champaign, v.43, n. 3, p. 433-465, 2003.
  • COX, J. C.; ROSS S. A. The valuation of options for alternative stochastic processes. Journal of Financial Economics, p.145-166, Jan. 1976.
  • COX, J. C.; ROSS, S. A.; RUBINSTEIN, M. Options Pricing: A Simplified Approach. Journal of Financial Economics, n. 7, pp. 229 - 263, Sep. 1979.
  • EDERINGTION, L. H. The hedging performance of the new futures markets. The Journal of Finance, Chicago, v.34, n.1, p. 157-170, Mar. 1979.
  • ETIENNE, X. L.; IRWIN, S. H.; GARCIA, P. Bubbles in commodity markets: four decades of evidence. Journal of International Money and Finance, v. 42, p. 129-155, 2014.
  • GARCIA, P.; LEUTHOLD, R. M. A selected review of agricultural commodity futures and options markets. European Review of Agricultural Economics, v. 31, n. 3, p. 235-272, 2004.
  • HULL, J. C. Fundamentals of futures and options markets. 7th. ed. Harlow: Pearson Education, 2010.
  • KOLB, R. W.; OVERDAHL, J. A. Understanding futures markets. 6th ed. Malden, MA: Blackwell Publ., 2006.
  • KOLB, R. W.; OVERDAHL, J. A. Financial derivatives: pricing and risk management. 5th ed. Hoboken, NJ: John Wiley & Sons, 2010.
  • LEUTHOLD, R. M.; JUNKUS, J. C.; CORDIER, J. E. The theory and practice of futures markets. Lexington, MA: Lexington Books, 1989.
  • MERTON, Robert C. Theory of rational option pricing. The Bell Journal of economics and management science, p. 141-183, 1973