文档介绍：Chapter 33Energy modity DerivativesOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull moditiesCorn, wheat, soybeans, cocoa, coffee, sugar, cotton, frozen orange juice, cattle, hogs, pork bellies, etcSupply-demand measured by stocks-to-use ratioSeasonality and mean reversion in prices (farmers have a choice about what they produce)Weather importantOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20122MetalsGold, silver, platinum, palladium, copper, tin, lead, zinc, nickel, aluminium, o seasonality; weather unimportantInvestment vs consumption metalsSome mean reversion (It can e uneconomic to extract a metal)RecyclingOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull moditiesMain energy sourcesOilGasElectricityAll have mean reverting pricesGas and electricity exhibit jumpsOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20124Crude modity market in the worldMany grades. For exampleBrent crude oil (sourced from North Sea)West Texas Intermediate (WTI) crudeRefined products, for example:GasolineHeating oilKeroseneOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20125Oil Derivatives (page 750)Virtually all derivatives available on stocks and stock indices are also available in the OTC market with oil as the underlying assetFutures and futures options traded on the New York Mercantile Exchange (NYMEX) and the International Petroleum Exchange (IPE) are also popularOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20126Natural Gas and ElectricityDeregulatedElimination of government monopoliesProducer and supplier not necessarily the sameOptions, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 20127Natural Gas Derivatives (page 750-751)A typical OTC contract is for the delivery of a specified amount of natural gas at a roughly uniform rate to specified location during a month. NYMEX