M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, 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. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the 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, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.

• Section I. Oil Products Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett JohnsonChapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke TangChapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko TakahashiChapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andrés Garcia Mirantes, Javier Poblacion and Gregorio SernaChapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke TangSection II. Other Commodities Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel BennedsenChapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela VandoneChapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke TangChapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano MarzoChapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. CaiChapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor RohdeSection III. Commodity Prices and Markets Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy HigueraChapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. OdusamiChapter 17 Long-Short Versus Long-Only Commodity Funds John M. MulveyChapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel ProkopczukChapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi NikkinenChapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian IelpoChapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchlögIChapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least-­Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. KangSection IV. Electricity Markets Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro SapioChapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric WinningtonChapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino KlugeChapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino ZanetteChapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRené Carmona, Michael Coulon and Daniel SchwartzChapter 28. Is EUA a New Asset Class?Vicente Medina and Angel PardoSection V. Contemporary Topics Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frédéric Abérgél, Côme Huré and Huyên Pham Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette

M.A.H. Dempster is professor emeritus at the Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge. Educated at Toronto, Carnegie Mellon and Oxford Universities, 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. He earned his BA in engineering from Tsinghua University in 2000, Master of Financial Engineering from the 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, digital economy and fintech. He has published many papers in journals including Journal of Finance, Review of Financial Studies, Annual Review of Financial Economics, etc. He is a frequent participant in various policy-related conferences held by institutions such as the United Nations Conference on Trade and Development, Organisation for Economic Co-operation and Development and the Food and Agriculture Organization of the United Nations. He currently serves as a managing editor of Quantitative Finance.

• Section I. Oil Products Chapter 1. The Volatility Risk Premium in the Oil MarketI. Bouchouev and Brett JohnsonChapter 2. Determinants of Oil Futures Prices and Convenience Yields M.A.H. Dempster, Elena Medova and Ke TangChapter 3. Pricing and Hedging of Long-Term Futures and Forward Contracts with a Three-Factor ModelKenichiro Shiraya and Akihiko TakahashiChapter 4 Planning Logistics Operations in the Oil Industry M.A.H. Dempster, N. Hicks Pedron, E.A. Medova, J.E. Scott and A. Sembos Chapter 5. Analysing the Dynamics of the Refining Margin: Implications for Valuation and Hedging Andrés Garcia Mirantes, Javier Poblacion and Gregorio SernaChapter 6. Long-Term Spread Option Valuation and Hedging M.A.H. Dempster, Elena Medova and Ke TangSection II. Other Commodities Chapter 7. A Rough Multi-Factor Model of Electricity Spot Prices Mikkel BennedsenChapter 8. Investing in the Wine Market: A Country-Level Threshold Cointegration ApproachLucia Baldi, Massimo Peri and Daniela VandoneChapter 9. Cross-Market Soybean Futures Price Discovery: Does the Dalian Commodity Exchange Affect the Chicago Board of Trade? Liyan Han, Rong Liang and Ke TangChapter 10. The Structure of Gold and Silver Spread Returns Jonathan A. Batten, Cetin Ciner, Brian M. Lucey and Peter G. Szilagyi Chapter 11. Gold and the US dollar: Tales from the Turmoil Paolo Zagaglia and Massimiliano MarzoChapter 12. Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in ChinaLei Cui, Ke Huang and H.J. CaiChapter 13 Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Fred E. Benth, Troels S. Christensen and Victor RohdeSection III. Commodity Prices and Markets Chapter 14. Short-Horizon Return Predictability and Oil Prices Jaime Casassus and Freddy HigueraChapter 15. Time-Frequency Analysis of Crude Oil and S&P 500 Futures Contracts Joseph McCarthy and Alexei G. Orlov Chapter 16 Sectoral Stock Return Sensitivity to Oil Price Changes: A Double-Threshold FIGARCH ModelElyas Elyasiani, Iqbal Mansur and Babatunde. OdusamiChapter 17 Long-Short Versus Long-Only Commodity Funds John M. MulveyChapter 18. The Dynamics of Commodity Prices Chris Brooks and Marcel ProkopczukChapter 19. Short-Term and Long-Term Dependencies of the S&P 500 Index and Commodity PricesMichael Graham, Jarno Kiviaho and Jussi NikkinenChapter 20. Commodity Markets through the Business Cycle Julien Chevallier, Mathieu Gatumel and Florian IelpoChapter 21. A Hybrid Commodity and Interest Rate Market Model Kay F. Pilx and Erik SchlögIChapter 22. Valuation of Gas Sales Agreements with Indexation Using Tree and Least-­Squares Monte Carlo Methods on Graphics Processing Units W. Dong and B. KangSection IV. Electricity Markets Chapter 23. Modeling the Distribution of Day-Ahead Electricity Returns: A ComparisonSandro SapioChapter 24. Stochastic Spot Price Multi-Period Model and Option Valuation for Electrical Markets Elvind Helland, Timur Aka and Eric WinningtonChapter 25. Modelling Spikes and Pricing Swing Options in Electricity Markets Ben Hambly, Sam Howison and Tino KlugeChapter 26. Efficient Pricing of Swing Options in Levy-Driven ModelsOleg Kudryavtsev and Antonino ZanetteChapter 27. The Valuation of Clean Spread Options: Linking Electricity, Emissions and FuelsRené Carmona, Michael Coulon and Daniel SchwartzChapter 28. Is EUA a New Asset Class?Vicente Medina and Angel PardoSection V. Contemporary Topics Chapter 29. Volatility Is RoughJim Gatheral, Thibault Jaisson and Mathieu Rosenbaum Chapter 30. Algorithmic Trading in a Microstructural Limit Order Book Model Frédéric Abérgél, Côme Huré and Huyên Pham Chapter 31. Cryptocurrency Liquidity During Extreme Price Movements: Is There a Problem with Virtual Money? Viktor Manahov Chapter 32. Identifying the Influential Factors of Commodity Futures Prices through a New Text Mining Approach Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao Chapter 33. Classification of Flash Crashes Using the Hawkes (p,q) FrameworkAlexander Wehrli and Didier Sornette