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Introduction: |  |
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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.
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
Introduction: | Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets. | Day 2: Structured Products and Advanced Topics | Details: | download pdf
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Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets. | |
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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
Introduction: | Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets. | Day 2: Structured Products and Advanced Topics | Details: | download pdf
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Day 2: Structured Products and Advanced Topics | |
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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 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
Introduction: | Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets. | Day 2: Structured Products and Advanced Topics | Details: | download pdf
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Details: | |
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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.
Introduction: | Day 1: Trading Commodities: The Crucial Understanding of Spot and Forward Markets. | Day 2: Structured Products and Advanced Topics | Details: | download pdf