Session 1:

Comparison with Traditional Asset Classes

This section highlights the key differences between traditional asset classes (such as fixed income and equities) and the energy markets.

• Differences between energy markets and traditional financial markets

• Exchanges and Indices

• Overview of different markets: Oil, Natural Gas, Electricity, Emissions, Freight, Coal

• Formula based pricing

• The way the market quotes

• Case study: Implications for Volatility

• Case study: Arbitrage limits

Session 2:

Instruments

This section gives an overview of the key instruments used on the market.

• Forwards, Futures, Swaps

• Asian options, Swaptions, Spread options, Basket Options

• Case study: Basis Risk

Session 3:

Specific Energy Markets

• Natural Gas

• Emissions

• Oil and Products

• Power/Weather

• Case Study: Calculate the theoretical price of CO2

Session 4:

Current Market and Long Term Outlook

• Review Drivers

• Published Regular Statistics

• Macro picture

• Looking forward

• Will the Bull Market Continue?

Session 5:

Structure of Forward Curves

This section discusses the main drivers of energy prices, and the difference between spot and forward markets, and shape of the curve.

• Spot Price Behaviour (Mean reversion, Seasonality and jump diffusion)

• Main price drivers

• Shape of the forward curve and relationship with spot prices

• Case study: How should we interpret the current bull run?

Session 6:

Volatility and Correlation

This section will look at the importance of spreads in energy trading and hedging, and how things can go wrong.

• Volatility

• Term structure

• Seasonality

• Case study: What happened at Amaranth

• Correlation

• Term structure

• Importance of Spreads

• Understanding and exploiting correlations

• Effect of stock on volatility

• Smile and inverse leverage

Session 7:

Other Commodity Markets

• Other energy related: Freight, Coal, Weather, Plastics

• Metals: Industrial and Precious

• Agriculture

• Livestock

Session 8:

Commodities Indices:

• Correlation between commodities and traditional asset classes

• The main commodity indices

• Construction of indices

Session 9:

Structured Products

This section will look at how the energy indices can be packaged to appeal to investors.

• Creation on commodity linked instruments

• Case study: Construction of oil-linked note

Course Close