Commodities & Commodity Derivatives
"The tutor Helyette displayed an impressive knowledge
of the industry and the theories associated with financial instruments"
Anne-Marie Gardner, Commodities, RBS
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Course Outline
The current explosion of activity in commodity markets - expressed by the amount of capital flowing into this asset class and the remarkable growth of hybrids, structured notes and commodities indexes - makes this course essential for all those needing a thorough and detailed understanding of both spot and derivative transactions. The programme will cover fundamental issues such as volume risk, mean-reversion, the forward curve, and the theory of storage. Plain-vanilla and exotic options on commodities will be analysed, as well as a real options approach to energy physical assets. Lastly, different ways of investing in commodities will be presented and discussed, as well as the virtues of holding commodity baskets to diversify a portfolio and hedge against inflation.
All delegates will receive a copy of Professor Geman's book, Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy.
Who The Course is For
- Commodity traders
- Hedge fund managers
- Investment bankers
- Energy company risk managers
- Insurance companies
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Prior Knowledge
Some basic knowledge of finance will be required. All fundamentals on commodities will be reviewed.
This
program is eligible for 16 Continuing Education credit hours from the
CFA Institute. If you are a CFA Institute member, CE credit for your participation
in this program will be automatically recorded in your CE Diary.
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Day One
Spot and Forward Commodity Markets
- Price formation in commodities: have new players changed the fundamental rules?
- Theory of storage and forward curves
- Inventory and commodity price volatility
- The role of shipping markets: the remarkable spikes in freight indices and their recent collapse
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 and its new developments
Case Study: Modelling the dynamics of commodity forward curves: seasonality and stochasticity. The Borovkova-Geman model applied to crude oil and natural gas.
Day Two
Financial and Physical Options in Commodities - Investing in Commodities
- Electricity and its unique features
- Agricultural commodities: the old and the new
- Ethanol and biofuels revisited
- Water as the next commodity
- Increasing correlations across commodity classes
- Increasing volatilities in commodity spot and option prices
- Electricity derivatives and their expansion
- Spread options in commodities: crush spreads, sparkspreads, darkspreads
- Valuation of physical assets in the energy industry
- 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
Case Study: Investing in shares of oil and mining companies: how good is the performance? Small cap versus mid and large caps.
