Agricultural Finance : From Crops to Land, Water and Infrastructure

Acknowledgments About the Author Preamble 1 Physical and Financial Agricultural Markets 1.1 Agricultural Markets as the Beginning of Sedentarization 1.2 The Outlook of Agricultural Commodities Markets 1.3 History of Commodity Futures and Spot Markets 1.4 Shipping and Freight 2 Agricultural Commodity Spot Markets 2.1 Introduction 2.2 Price Formation in Agricultural Commodity Markets 2.3 Volatility in Agricultural Markets 3 Futures Exchanges – Future and Forward Prices – Theory of Storage – The Forward Curve 3.1 Major Commodity Exchanges 3.2 Forward Contracts 3.3 Futures Contracts 3.4 Relationship between Forward and Future Prices 3.5 Example of a Future Spread 3.6 Inventory and Theory of Storage 3.7 The Benefits of Forward Curves 3.8 Stochastic Modeling of the Forward Curve 4 Plain Vanilla Options on Commodity Spot and Forward Prices. The Bachelier–Black–Scholes Formula, the Merton Formula, the Black Formula 4.1 Introduction 4.2 Classical Strategies involving European Calls and Puts 4.3 Put–Call Parity for a Non-dividend Paying Stock 4.4 Valuation of European Calls: the Bachelier–Black–Scholes Formula and the Greeks 4.5 The Merton (1973) Formula for Dividend-paying Stocks 4.6 Options on Commodity Spot Prices 4.7 Options on Commodity Futures: the Black (1976) Formula 4.8 Monte-Carlo Simulations for Option Pricing 4.9 Implied Volatility, Smile, and Skew in Equity Option Markets 4.10 Volatility Smile in Agricultural Commodity Markets 5 Commodity Swaps, Swaptions, Accumulators, Forward-Start, and Asian Options 5.1 Swaps and Swaptions 5.2 Accumulators 5.3 Forward-Start Options (or Calendar Spread Options on the Spot Price) 5.4 Asian Options as Key Instruments in Commodity Markets 5.5 Trading the Shape of the Forward Curve through Floating-strike Asian Options 6 Exchange, Spread, and Quanto Options in Commodity Markets 6.1 Exchange Options 6.2 Commodity Spread Options 6.3 Commodity Quanto Options 7 Grain Cereals: Corn, Wheat, Soybean, Rice, and Sorghum 7.1 Introduction 7.2 Corn 7.3 Wheat 7.4 Soybeans 7.5 Rice 7.6 Sorghum 8 Sugar, Cocoa, Coffee, and Tea 8.1 Sugar 8.2 Cocoa 8.3 Coffee 8.4 Tea  9 Cotton, Timber and Wood, Pulp and Paper, Wool 9.1 Cotton 9.2 Lumber and Wood 9.3 Pulp and Paper 9.4 Wool 10 Orange Juice, Livestock, Dairy, and Fishery 10.1 Orange Juice 10.2 Livestock 10.3 Dairy 10.4 Fish Markets 10.5 Poultry 11 Rubber, Palm Oil, and Biofuels 11.1 Rubber 11.2 Palm Oil 11.3 Ethanol, Biofuels, and Biomass 12 Land, Water, and Fertilizers 12.1 Land Types, Yields, and Erosion 12.2 Fertilizers 12.3 Water and its Crucial Role in the World Economy 12.4 Projections for the Future of Agriculture 12.5 Subsidies and Export Bans 12.6 Market-oriented Farming 13 Infrastructure and Farming Management in the Digital Age 13.1 Introduction 13.2 Agricultural Infrastructure 13.3 Country Risk: the Example of Ukraine in 2014 13.4 Analyzing the Risks Involved in an International Wheat Tender Offer 13.5 Weather Risk and Weather Derivatives 14 Investing in Agricultural Commodities, Land, and Physical Assets 14.1 The Different Ways of Getting Exposure to Commodities 14.2 Purchase of Commodity Options and Structured Products 14.3 Commodity Index Investing 14.4 Investing in Commodity-related Equities 14.5 Investing in Land 14.6 Acquisition of Infrastructure and Physical Assets Glossary References Index