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DEPARTMENT OF BUSINESS STUDIES AARHUS SCHOOL OF BUSINESS AARHUS UNIVERSITY ___________________________________________________________________________________________________ PhD course Commodities and Commodity Derivatives Auditorium E1, Aarhus School of Business, Aarhus University Thursday 27 January and Friday 28 January 2011 lectured by Professor Helyette Geman Director, Commodity Finance Centre University of London & ESCP Europe Member of the Board of the UBS – Bloomberg Commodity Index General Goals The tentative aims of the course are the following: Learn the fundamental economic results, e.g., theory of storage, established on commodities since Keynes and Kaldor. Recognize the properties of energy, metals, agriculturals and shipping. Discuss the forward curve and its stochastic modeling, with or without seasonality. Discuss the pricing and hedging of options mostly traded in commodity markets, as well as the valuation of physical assets. Course Contents Section 1 Commodities as a New Asset Class Commodities as a Multi‐ Asset Class: Agriculturals, Metals and Energy Shipping, Shipping Indexes and freight Derivatives Supply, Demand and Commodity Spot Price formation Inventory and Spot price Volatility: evidence from Metals and Agriculturals Forwards and Futures: description of the contracts and their properties Section 2 Theory of Storage (Keynes, Working), Convenience Yield and Commodity Forward Curves Base Metals: Copper, aluminum, tin, lead, zinc and nickel The London Metal Exchange and delivery rules Precious Metals: silver, platinum, palladium The London Bullion Market and the particular role of gold as a numeraire currency Coal as a key commodity in the US, China, India, Australia Natural Gas markets: contrasting the case of the US and the UK Oil and Oil Refined Products Stochastic Modeling of the Forward Curve: the example of Crude Oil DEPARTMENT OF BUSINESS STUDIES AARHUS SCHOOL OF BUSINESS AARHUS UNIVERSITY ___________________________________________________________________________________________________ Section 3 New Metals: Uranium, Rare earths. Electricity as a non‐storable commodity Agriculturals and the unique difficulties of their forward curves Options on Commodity Spot Prices Options on Commodity Futures Crush Spread Options in Agricultural Markets; Sparkspreads and Crackspreads in Energy Markets Section 4 Asian Options in Oil and Shipping Markets: the Valuation and Hedging Challenges Swing Options in Electricity, Natural Gas and Shipping Valuation of Physical Assets in the world of Commodities: Real Options versus Project Finance Investing in Commodities: the different vehicles The challenges in building and managing a commodity index Bibliography A. Eydeland and K. Wolyniec, Energy & Power Risk Management. Wiley Finance 2002. C. Harris, Electricity Markets: Pricing Structures and the Economics. Wiley Finance, 2006. H.Geman, Commodities and Commodity Derivatives: Energy, Agriculturals and Shipping. Wiley Finance, 2005. H. Geman, Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy. Wiley Finance, 2008. Fees The course fee is EUR150 (DKK1125) for academic participants and EUR500 (DKK3750) for non‐academic participants, covering lunches, coffee breaks and a course dinner, which will be held at a restaurant in the city centre of Aarhus on Thursday 27 January. Registration If you would like to participate in the event, then please send a mail to Susanne Lannie (email@example.com) specifying your affiliation. Participation is limited and we therefore accept registrations on a first‐come, first‐served basis. The deadline is 17 January 2011.
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