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Due to a complete sell out in March & July 2007, WBS are pleased to announce new dates for our Commodities & Commodity Derivatives event!
In the context of exploding commodity markets, the goal of this event 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 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets
- Demand, supply and price formation
- Inventories as a key specificity of Commodities markets
- Theory of storage and the shape of Forward curves
- Why electricity is different from the start
- Futures Markets and Price discovery
- Shipping and freight as an Asset class in its own right
- The role of indexes in the trading of Forward Freight Agreements
- Metals Markets
- The gigantic multipliers in copper, nickel and zinc prices
- The role of the LME
- The particular role of gold as the numeraire currency
- Uranium
- Energy Markets
- Coal and its bright future
- Gas markets and LNG as an arbitrage instrument
- Oil markets: have we passed Peak Oil?
Case Study:
- Seasonal and Stochastic Effects in Commodity forward curves : the Borovkova - Geman model
- Revisiting Amaranth
- Contrasting Crude oil and Natural gas forward curves
Presenter:
Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index
Day 2: Structured Products and Advanced Topics
- Modelling commodity prices
- Is Mean - Reversion dead?
- When are trajectory jumps necessary?
- Inventory and price Volatility
- Exchange and spread options in commodities
- Application to the valuation of an aluminium smelter or a CCGT
- The key role of Asian options in Shipping and Energy markets; the Geman - Yor model and accuracy of the Greeks
- Swing options and their unique valuation difficulties
- Commodity Structured Notes
- Valuation and Hedging of CCOs: why they have little to do with CDOs
- Investing in Commodities : ETFs vs Certificates vs Shares of Mining companies vs Indexes
Case Study:
- Building a Commodity Index for Investment purposes: The choice of the components, the Scale dimensionality and the Maturity dimensionality.
Presenter:
Helyette Geman: Professor of Mathematical Finance Birkbeck, University of London, ESSEC Business School & Member of the Board of the UBS Bloomberg Commodity Index
Day 3: Agricultural, Biofuels, Electricity & Carbon Markets, CCOs & Volatility
- Agriculture and Biofuels Trends
- Agriculture prices in the context of global commodity sector
- Collateralised Commodity Obligations
- Commodity CDO structures
- Enhancing Total Commodity Returns
- Leveraging volatility (using volatility to enhance returns)
- Understanding Commodity Volatility
- Enhancing Commodity Beta using Volatility Strategies
- Electricity & Carbon Markets
- Understanding the Long-term and Short-term Drivers of Power Prices
- Volatility and Risk Premium models
- Forward Curve Decomposition: The Interplay between Seasonality, Common Time Factor and Term Premium
Presenters:
Francisco Blanch: Head of Commodities Research, Merrill Lynch
Alexander Boogert: Senior Quantitative Analyst, Essent Energy Trading
Derek Bunn: Professor of Decision Sciences, London Business School
Kimon Gkomozias: Associate Director, Standard & Poor's
Gustavo Soares: Commodity Strategist, Merrill Lynch
Stephan Wrobel: Founding Partner and CEO of Diapason Commodities Management
Day 4: Base Metals, Coal, Gas & Oil Markets
- Fundamental Trends in Commodity Markets (Base metals and oil)
- The relationship between costs and prices
- The long and short of it: Key drivers of base metals
- Oil, Gas & Coal Prices Within the Framework of a Co-integrated VAR Model
- Valuation and Operational Management of Gas Supply Contracts
- Numerical valuation
- From supply contracts to storages : gas derivatives hedging
Presenters:
Allan Bødskov Andersen: Head of Risk & Model Development Energy Markets, DONG Energy
Olivier Bardou : Project Manager Research and Development Division, Gaz de France
Robin Bhar: Base Metals Strategist, UBS
Kevin Norrish: Head of Commodities Research: Barclays Capital
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 Millennium Hotel London Knightsbridge
17 Sloane Street
London SW1X 9NU
Hotel Website
Nearest Tube: Knightsbridge
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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.