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Complete sell out in London, March 2007 for this workshop!
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: the Rally of Zinc and Copper
- Gold and the London Bullion Market
- Uranium and Uranium Futures
Agriculturals:
- Wheat and Soybeans
- Sugar, Corn and Ethanol
- Water and the WOWAX Index
Energy:
- The Natural Gas Markets: the US and UK examples
- Gas structured products
Case Study: Calendar spreads in energy Futures and the 6 billion Amaranth loss: Was it a 5-standard deviation event?
Day Two -- Energy and Commodity Options
- Coal and its increasing share
- Crude Oil and Oil Products
- Oil forward curve and its hump- shape: Theory of storage Revisited
- Ethanol
- Commodity Spot prices modelling: Structural versus reduced- form models
- Mean -reversion versus Random walk in Energy markets
- The unique features of electricity: power stack function and spikes in trajectories
- Options on Commodity Spot and Futures Prices
- The volatility smile/ skew
- Exchange and Spread options for agriculturals and energy
- Darkspreads and sparkspread Options
Case Study: Modelling the dynamics of the oil Forward curve and the joint dynamics of Oil and Natural Gas forward curves
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: Valuation of a Gas Storage Facility and an Aluminum Smelter
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:
The Warwick New York Hotel
65 West 54th Street, NYC, New York 10019, USA
Tel: +1 212 247 2700 Fax: +1 212 247 2725
The Warwick Hotel NY Website