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Helyette Geman: Prof. of Mathematical Finance Birkbeck, University of London and ESSEC Business School, Author of the book "Commodities and Commodity Derivatives" and Member of the Board of the UBS - Bloomberg Commodity Index.
In the context of exploding commodity markets, the goal of the course is to offer a thorough and detailed understanding of both spot and derivative transactions.
The discussion will focus in particular on such fundamental issues as volume risk, forward curve, theory of storage. Plain-vanilla and exotic options on commodities will be analysed, as well as a real options approach to energy physical assets
Day One -- Fundamentals of Spot and Forwards / Futures Commodity Markets
- Instruments and Commodity Exchanges: LME, NYMEX, CBOT
- Commodity Spot Markets: the importance of liquid indexes
- Shipping and Freight: Spot and Freight Forward Agreement Markets
- Futures contracts and Price discovery
- Theory of storage and convenience yield
- The forward curve as a key element when trading commodities
- Spot-forward relationship and shape of the forward curve
The Different Commodity Markets:
Metals:
- industrial (zinc, copper..)
- precious
Agriculturals:
- corn & wheat
- sugar
- water as a new commodity
Energy:
- oil and oil refined products
- natural gas
- coal and its large reserves
- electricity
- emissions
Case Study: Calendar spreads in energy Futures and the 6 billion Amaranth loss: Was it a 5-standard deviation event?
Day Two -- Commodity Options
- Dynamics of commodity spot prices
- Seasonality
- The current bull cycle: mean-reversion or persistent upward trend in energy commodity price processes?
- The unique features of electricity
- Modelling energy commodity prices
- Incorporating spikes in the trajectories
Case Study: Modelling the dynamics of the oil forward curve.
Modeling the joint dynamics of the oil and natural gas forward curves
- Options on commodity futures contracts
- Plain-vanilla options on commodity spot prices
- Exchange options for agricultural and energy commodities
- The case of sugar and ethanol
- The case of sparkspread and darkspread options
Day Three -- Advanced Topics
- Enhancing the Markowitz frontier by introducing a new asset class
- The major commodity indexes and their specific features
- Investing in commodity- related companies versus commodity indexes
- Relationship between inventory and spot price volatility: the examples of Agriculturals and crude oil
- Volatility Smile in commodities: the inverse leverage effect
- Correlations between oil and natural gas prices: the case of the UK and continental Europe
- Asian Options and floating-strike Asian options: the example of the oil market
- Calendar spread options and gas storage valuation
- Volumetric and swing options in energy commodity contracts
Case Study: How to choose the weights (volume, production, inventory) and the rebalancing rule (e.g., mean-reversion) when building a commodity index
All delegates will receive a complimentary copy of the Wiley 2005 publication: Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy by Hélyette Geman
Location:
Melia White House Hotel
Albany Street
Regents Park
London NW1 3UP
Hotel Website
Topics Covered | Details: | download pdf
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Flight details:
All delegates flying into London on the morning of the event are reminded that they should arrive 30 minutes before the workshop starts for registration. The hotels West End location is approximately 1 hour from all 3 main London airports, Heathrow, Gatwick and City. Returning flights should equally allow for the events finishing time.
Complimentary inbound transfer service:
WBS Training now extend our premium service to all our clients. This includes a complimentary inbound transfer from London airports to central London hotels for all workshops. If you require this service simply inform us up to 2 working days prior to your arrival (flight number, arrival time, airport and hotel destination) and we will arrange a complimentary pick up. You will be given a phone number to call on arrival and will be greeted at the airport by our partner taxi company.
Sponsorship:
World Business strategies Ltd, offer sponsorship opportunities for all events, E-mail headers and the web site. Contact Sponsorship: +44 (0) 1273 201352
Disclaimer:
World business strategies command the rights to cancel or alter any part of this programme.
Cancellation:
By completing of this form the client hereby enters into a agreement stating that if a cancellation is made by fax or writing within two weeks of the event date no refund shall be given. However in certain circumstances a credit note maybe issued for future events.
Prior to the two week deadline, cancellations are subject to a fee of 25% of the overall course cost.