Latest Developments: Commodities & Commodity Derivatives

Venue: Central London

Location: Central London, United Kingdom

Event Date/Time: Oct 04, 2006 End Date/Time: Oct 06, 2006
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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/flash Futures Commodity Market
Instruments and Commodity Exchanges: LME, NYMEX, CBOT
Commodity Spot Markets: the Importance of Liquid Indexes
Shipping and Freight
Fundamentals of Commodity Forward and Futures Contracts
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
Forward rates as expectations of future Spot rates
Case Study: Modelling the dynamics of the forward curve
Day Two

Commodity Options
Dynamics of Commodity Spot Prices
The unique features of electricity: incorporating spikes in the trajectories
The current bull cycle: mean-reversion or upward trend in energy commodity price processes?
Options on Commodity Futures Contracts
Plain-Vanilla Options on Commodity Spot Prices
Exchange Options
Case study: Pricing a fuel power plant and tolling rights as a portfolio of Sparkspread option Incorporating emission rights in the valuation
Day Three

Advanced Topics
Inventory and Spot Price Volatility: the examples of Agriculturals, metals and Energy
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
Case Study: Building binomial and trinomial trees to price swing options and interruption rights in the gas and electricity industry

All delegates will receive a complimentary copy of Commodities and Commodity Derivatives' published by Wiley Finance 2005