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Advanced Modelling and Analysis of Commodity Derivatives

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
  • Analysing volatility in the commodities markets
  • Structuring and pricing commodity derivatives
  • Monte-Carlo simulations and pricing methodologies
  • Pricing exotic commodity derivatives
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  • Date:
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  • Venue:
  • Central London
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Who The Course is For

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

Prior Knowledge

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. 

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