World Business Strategies - London: Latest Developments: Commodities & Commodity Derivatives

		Introduction:

In the context of the 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.

In the two days all markets will covered: Agricultural, Base Metals, Biofuels, Carbon, Coal, Electricity, Gas & Oil Markets. Commodities Investment & Cross-Commodity Correlations, CCO Structures.

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

		Trading Commodities: The Crucial Understanding of Spot and Forward Markets.

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Monday 9th June (central London).

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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

Day schedule: 09:00 – 17:00

Break: 10:30 – 10:45
Lunch: 12:30 – 13:30
Break: 15:15 – 15:30

Presenter:

Helyette Geman: Birkbeck, University of London, ESSEC Business School & UBS Bloomberg Commodity Index

		Structured Products and Advanced Topics

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Tuesday 10th June (central London).

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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

		Day 1: Agricultural, Base Metals, Biofuels, Cross-Commodity Correlations, CCOs & Commodity Investments

09:00 – 10:30: Agriculture and Biofuels Trends

Presenter: Stephan Wrobel: Founding Partner and CEO, Diapason Commodities Management

Agriculture prices in the context of global commodity sector
The forces at work in agriculture
Food, Feed, Fuel the coming battle

10.30 - 11.00 Break

11:00 – 12:30: Alternative Routes to Commodity Investments:

Presenter: Eugen Weinberg: Senior Commodity Analyst, Commerzbank

Long-term Fundamental View on Commodities
Case study: agricultural sector
Asset vs. Index: Product Choice
Enhanced Strategies
Selection Process and Market Analysis
Commodity Alpha

12:30 – 13:30 Lunch

13.30 - 14.30: Cross-Commodity Correlations:

Presenter: Yves Demasure: Head Commodity Structured Trading, Fortis Global Markets

Characteristics of commodity models
Closer look at volatility and mean-reversion
Terminal correlation: correlation in the presence of mean-reversion
Correlation products: baskets and spreads
An examination of some key examples

14.30 - 15.30: Commodity CDO structures

Presenter: Olivier Lenoble: Associate, Quantitative Analytics, Standard & Poor's

Market Outlook
CCO strucrture
S&P rating methodology
S&P commodity modeling approach
S&P backtesting approach
Further Developments

15.30 - 15.45 Break

15:45 - 17.00: Stronger for Longer

Presenter: Robin Bhar: Base Metals Strategist, UBS

The long and short of it: Key drivers of base metals
Demand, demand, demand......
But where is the supply response?
Investor appetite - a new dynamic?
Key trends in:

Copper
Aluminium
Nickel
Zinc

		Day 2: Energy Markets

09:00 – 10:30: Modelling Electricity Spot Prices

Presenter: Gero Schindlmayr: Risk Management, RWE

Characteristics of electricity spot prices
Modelling spikes
Applications to virtual power plants
Applications to full-service contracts

10:30 – 10:45 Break

10:45 - 12:45: Modelling in Power Markets:

Presenter: Marcelo Figueroa: Quantitative Analyst, BP Oil International

Modelling power with forward looking capacity constraints
Regime switching models applied to high-frequency data

Storage Models (applicable to gas/oil markets alike):

Presenter: Marcelo Figueroa: Quantitative Analyst, BP Oil International

Valuing storage with LSM (least-squares Monte Carlo)

12:45 - 13:45 Lunch

13:45 - 14:45: Load following deals:

Presenter: Mircea Marinescu: Global Head of Commodity Quantitative Analytics, Barclays Capital

Temperature of the day model
Long-term daily load profiles
Hourly power spot price analysis
A simple power spot model; historical and implied markets calibrations
Load following deal; pricing and hedging

14:45 – 15:45: Interaction of Carbon Trading and Energy Prices

Presenter: Derek Bunn: Professor of Decision Sciences, London Business School

Modelling Carbon Price Formation in the EU-ETS
Econometric models of gas-carbon-power
Carbon price and volatility pass-through into power
Policy interventions, risk and capacity effects in the longer term

15:45 – 16:00 Break

16:00 - 17:15: Valuation and Operational Management of Gas Supply Contracts:

Presenter: Olivier Bardou: Project Manager Research and Development Division, Gaz de France

Supply contracts and the european gas markets
Numerical valuation
Management of operational risks
From supply contracts to storages : gas derivatives hedging

		Details:

Location:

Jurys Clifton Ford Hotel
47 Welbeck Street
London W1G 8DN
Hotel Website

Nearest Tube: Bond Street

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.

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

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Monday 9th June (central London).

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Tuesday 10th June (central London).

Location:

Flight details:

Complimentary inbound transfer service:

Sponsorship:

Disclaimer:

Cancellation:

2nd - 3rd Apr 2008
Central London

Quick Links:

Forth Coming Events:

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

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Monday 9th June (central London).

Due to unforeseen circumstances, this workshop day by Helyette Geman will now be presented on Tuesday 10th June (central London).

Location:

Flight details:

Complimentary inbound transfer service:

Sponsorship:

Disclaimer:

Cancellation:

2nd - 3rd Apr 2008 Central London

Quick Links:

Forth Coming Events:

2nd - 3rd Apr 2008
Central London