Commodity and Energy Markets - Trading, Derivatives and Risk Management

Day One

09.00 - 09.15 Welcome and Introduction

09.15 - 12.00 Commodities and Commodity Markets

• Generic Characteristics of Commodities
• Types of Commodities
  • Agricultural Commodities
  • Industrial and Precious Metals
  • Oil and Gas and other Energy Commodities
• Players in the Commodity Markets
• World Commodity Markets
• Outlook for Global Commodity Prices

The Economics of Commodity Markets

• Economic and Geopolitical Issues
• Demand and Supply Factors
• Scarcity, Reserves and Price Volatility
• Storage Theory, Inventory and Convenience Yield
• The Importance of Seasonality
• Commodities and Inflation
• Modelling Commodity Prices
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Commodity Derivatives

• Commodity Forwards and Futures
• Pricing Commodity Forwards and Futures
  • The Cost of Carry Model
  • The Term Structure of Futures Prices
  • Contango and Backwardation
  • Components of the Return to a Commodity
• Commodity Options
  • Types
  • Pricing and Risk Assessment
• Commodity Swaps and Commodity Swaptions
• CTS and other Exotic Commodity Derivatives
• Structured Commodity Products
  • Principal Protected Structures
  • Basket, Everest, Himalaya and other Exotic Structures
• Exercises

Day Two

09.00 - 09.15 Recap

09.15 - 12.00 Trading and Hedging Commodity Risk

• Investing in Commodities
  • Commodities as a New Asset Class
  • Hedging Inflation and Geopolitical Risks with Commodity Investments
  • Constructing Optimal Portfolios with Commodity Investments
• Using Futures and Options for Commodity Trading
  • Rolling the Forward Curve
  • Directional Trading Strategies
  • Volatility and Spread Strategies
  • Trading the Shape of the Forward Curve
• Using Futures and Options to Hedge Commodity Risk
  • Long/Short Hedges with Futures
  • Hedging with Options and Exotics
  • Hedging with Swaps and Options
• Using Derivatives to Structure Investment Products to Current Environment
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Energy Markets

• Overview of Oil, Gas and Electricity Markets
• Global Trends in Energy Markets
  • Privatization
  • Liberalization
• Opportunities for Investors
• Development of Energy Investment Vehicles
• Market Outlook

Energy Derivatives

• Energy Futures and Options
  • Case Study: Trading at NYMEX
• OTC Energy Derivatives
  • Case Study: Trading OTC Derivatives Online
• Valuation and Risk Assessment
• Exercises

Day Three

09.00 - 09.15 Recap

09.15 - 12.00 Trading and Hedging Energy Risk

• Trading with Energy Futures and Options
  • Speculation and Spread Trading
  • Volatility Trading
  • Case Study: Trading Electricity Futures
  • Case Study: Trading Natural Gas Futures (Amaranth)
• Hedging with Energy Futures and Options
  • Reasons to Hedge Energy Risk
  • Timing the Market
  • Customization
  • Long-Term Hedging via “Stack and Roll”
  • Case Study: How Power Generators, End Users and Marketers Hedge Electricity Price Risk
  • Risks of Using Futures and Options for Energy Price Hedging
• Hedging with Price Swaps, Basis Swaps, Forward Contracts and Exotics
• Exercises

12.00 - 13.00 Lunch

13.00 - 16.30 Weather Derivatives, Emissions Trading and Renewable Energy

• Weather Derivatives
  • Temperature as a Commodity
  • CME Weather Futures and Options on Futures
  • OTC Weather Derivatives
  • Examples of Uses of Weather Derivatives for Trading and Hedging
• Emissions Trading
  • Cap & Trade vs. Baseline & Credit
  • Major Trading System
  • The Carbon Market
• Renewable Energy

Evaluation and Termination of the Seminar