Quality Seal Emagister EMAGISTER CUM LAUDE

Advanced Modelling and Analysis of Commodity Derivatives

London Financial Studies
En London (Inglaterra), New York (Estados Unidos)

£ 3.825 - (4.500 )

Información importante

  • Short course
  • En 2 sedes
  • Duración:
    3 Days
  • Cuándo:
    A elegir

This 3 day intensive programme reviews the best practice in quantitative modelling for commodity derivatives. The emphasis is on the pricing, hedging, and risk management of energy and metals derivatives and their price behaviour within the commodities market.

Excel based practical exercises will cover:

- Stochastic modelling of commodities markets
- Analyzing volatility in the commodities markets
- Structuring and pricing commodity derivatives
- Monte Carlo simulations and pricing methodologies
- Pricing exotic commodity derivatives

Información importante
¿Esta formación es para mí?

Commodity derivatives professionals
Quantitative analysts
Risk managers
IT professionals
Energy company risk managers
Insurance companies

Requisitos: The course assumes a working knowledge of the commodities markets and commodity derivatives as well as strong Excel skills. Basic algorithms in VBA will be used but prior knowledge is not essential.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
A elegir
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
New York
New York, Estados Unidos
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¿Qué aprendes en este curso?

Risk Management
IT risk
Financial markets
Delta Hedging
Physical Optionality
Proxy hedging
Commodities Markets
Commodity Derivatives


Day One

Fundamentals of Commodity Markets
  • The basics of commodity markets
  • Forwards, futures and swaps
  • Cost of carry
  • Seasonality in energy prices
The Forward Market
  • Physical versus Financial markets
  • Contango and backwardation
  • Constructing the forward curve
  • Spot versus curve contracts
Workshop: The Electricity and Gas Forward
  • CurveCascading contracts
  • Shaping the curve
Commodity Derivatives
  • General introduction to derivatives
  • Commodity futures options
  • Commodity swaps
  • Commodity structured products
  • Physical/Embedded optionality
Basic Commodity Models
  • Overview of Black Scholes and Black's (1976) model
  • Volatility
  • Mean reversion
  • Jump diffusion models
Workshop: Commodities Modeling
  • Implementing Black Scholes in the commodity markets pricing of commodities structured products

Day Two

Analysing Volatility in the Commodity Markets
  • Estimating historic volatility
  • Implied volatility for commodity derivatives
  • Volatility skews and smiles and term structure
  • Stochastic volatility models
Workshop: Volatility

Estimating volatility of commodity markets

Monte Carlo Methods for Pricing Commodity Derivatives
  • The basic principles of Monte Carlo simulation
  • Implementing a Monte Carlo pricing engine
  • Improving Monte Carlo methods
  • Exotic commodity derivatives
Workshop: Univariate Monte Carlo Methods
  • Pricing of exotic options using Monte Carlo
Risk Management and Hedging in the Commodity Markets
  • The Greeks
  • Delta hedging
  • The Gamma Theta trade off
  • Delta Gamma Vega Hedging
Correlation in Commodities Markets
  • The basics of correlation
  • Spread options and other correlation sensitive derivatives
  • Margrabe's model
  • Kirk's approximation
  • Monte Carlo simulation of correlated commodities
Workshop: Pricing of Spark Spread Option
  • Implementation of multivariate monte carlo method
  • Pricing of a spark spread option
Day Three

Advanced Commodities Models
  • Implied distribution
  • Truncated distributions
  • Vanna Volga model
  • SABR
Workshop: The Vanna Volga Model
  • Implement Vanna Volga model
FX Component in Commodities
  • Quanto and compo forwards
  • Quanto and compo options
  • Quanto pricing
Advanced Risk Management
  • Proxy hedging
  • Uncertainty versus volatility
  • Correlation hedging
  • Quanto hedging
Modeling Physical Optionality
Locational optionality
  • Timing optionality
  • Shipping
  • Storage
Workshop: Monetizing Options

Delta hedging OTM options