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Monday 8th & Tuesday 9th March: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy
Presenter: Professor Hélyete Geman
Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy by Professor Helyette Geman is the follow up seminar to the hugely successful, 'Latest Developments: Commodities & Commodity Derivatives'.
Hélyete GEMAN is a Professor of Finance at Birkbeck, University of London and ESSEC Graduate Business School. She is a graduate of Ecole Normale Superieure in mathematics, holds a Masters degree in theoretical physics and a PhD in mathematics from the University Pierre et Marie Curie and a PhD in Finance from the University Pantheon Sorbonne.
Professor Geman has been a scientific advisor to major financial institutions and energy and mining companies for the last 18 years, covering the spectrum of interest rates, catastrophic risk, oil, natural gas, electricity and metals. She was previously the head of Research and Development at Caisse des Depots. Professor Geman was the first president of the Bachelier Finance Society and has published more than 95 papers in top international finance Journals including the Journal of Finance, Journal of Financial Economics, Mathematical Finance. She is a Member of Honor of the French Society of Actuaries.
Professor Gemans research includes interest rates and catastrophic insurance, asset price and commodity forward curve modeling, hedge funds and alternative investments, as well as exotic option pricing for which she won the first prize of the Merrill Lynch Awards in 1994. Her work on catastrophic options and CAT bonds and book Insurance and Weather Derivatives (1998) received the AFIR (actuarial approach to financial risk) prize. Prof Geman was named in 2004 in the Hall of Fame of Energy Risk and received in July 2008 the ISA medal for Sciences of the Alma Mater University of Bologna for the CGMY model, a pure jump Levy process widely used in finance since 2002.
Her reference book Commodities and Commodity Derivatives was published by Wiley Finance in January 2005. Prof Geman is a Member of the Board of the UBS-Bloomberg Commodity Index.
Delegates only attending days 1 and/or 2 will receive a complimentary copy of the Wiley 2008 publication: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy by Professor Helyette Geman.
Wednesday 10th March: Exotic & Hybrid Commodities and Carbon Derivatives
Presenters: Marcelo Labre: Global Head of Analytics, Carbon Structuring Expert, Standard Bank & Arvind Hariharan: Head of Commodities Hybrids and Exotic Trading, Standard Bank
Introduction: | Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | Details: | download pdf
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Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | |
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Spot and Forward Commodity Markets: Back to the Future
- The Massive Arrival and Rapid Withdrawal of New Players
- Price Formation in Commodity Spot Markets
- Theory of Storage and Forward Curves
- Inventory and Commodity Price Volatility
- The role of Shipping markets: the Remarkable Spikes in Freight indices
Metal markets
- Zinc, copper, nickel, lead
- The rules of the London Metal Exchange
- Precious metals: Is Gold Keeping its Dual Role?
Energy Markets
- Coal and its large Reserves
- Natural Gas markets ; the Role of Seasonality
- Crude Oil prices as a World Market
Case study
- Modelling the dynamics of Commodity Forward Curves: Seasonality and Stochasticity.
- The Borovkova- Geman model
Day schedule: 09:00 17:00
Break: 10:30 10:45
Lunch: 12:30 13:30
Break: 15:15 15:30
Introduction: | Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | Details: | download pdf
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Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | |
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Financial and Physical Options in Commodities-
Investing in Commodities
Part 1
- Electricity and its Unique Features
- The Carbon Market and some issues around it
- Agricultural Commodities: the Old and the New
- Ethanol and Biofuels Revisited
- Water as the next commodity
Part 2
- Increasing correlations across Commodity Classes
- Increasing volatilities in Commodity Spot and Option prices
- Spread options in Commodities: crush spreads, sparkspreads, darkspreads
- Valuation of Physical Assets in the Commodities space
Part 3
- Investing in Commodities
. The major Commodity Indexes
. The choice of weights, rebalancing rule and time to maturity of the Futures
. The importance of the shape of the forward curve in the roll yield
- Commodity Structured Notes and ETFs
- Investing in Shares of Oil and Mining companies
Day schedule: 09:00 17:00
Break: 10:30 10:45
Lunch: 12:30 13:30
Break: 15:15 15:30
Introduction: | Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | Details: | download pdf
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Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | |
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09.00 - 12.30 Carbon Trading and Analytics
Presenter: Marcelo Labre: Global Head of Analytics & Carbon Structuring Expert, Standard Bank
Science, Policy and the Carbon Economics
- The climate change issue, human-made greenhouse gas emissions in perspective
- Initiatives to mitigate climate change
- Organizations, agreements and policies in place
- The economics of carbon market mechanisms
Carbon Markets, Trading and Analytics
- Cap-and-trade and baseline-and-credit market mechanisms
- Instruments and platforms for trading carbon
- Carbon price drivers and analytics
- Hedging carbon exposure and monetizing carbon assets
Break: 10.30 - 11.00
Lunch: 12.30 - 13.30
13.30 - 17.00 Exotic Commodity Options
Presenter: Arvind Hariharan: Head of Commodities Hybrids and Exotic Trading, Standard Bank
Exotic Commodity Options
- Basic types of Commodity Options and their Origins
- Exotics arising from Physical Commodity trading
- Carbon credits: The issue of deliverability and its valuation
Valuation and Hedging of Commodity Options
- Traditional Derivative models and their applications to Commodity Exotics
- The efficient Vega Hedge and a practical method of minimizing the impact of a skew on hedging complex derivatives
- The impact of correlation on commodity exotics
Break: 15.00 - 15.30
Introduction: | Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | 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.
Introduction: | Day 1: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 2: Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy | Day 3: Exotic & Hybrid Commodities and Carbon Derivatives | Details: | download pdf