Råvaremarkeder og -derivater

Kurset holdes av Associate Professor Svetlana Borovkova fra Vrije Universiteit Amsterdam.

Kursets innhold:
* Commodity markets: overview, description and structure
* Commodity spot price models, their performance and calibration
* Forward curve modeling for commodities
* Modeling commodity price volatility
* Correlations/dependencies in commodity portfolios
* Modeling risk of a commodity portfolio
* Typical commodity derivatives (quanto, Asian, spread and basket options, volumetric and swing options, real options) and ways to price and hedge them
* Miscellaneous topics in commodity markets: exotic commodities (emission, weather, insurance, catastrophe, real estate derivatives); role of information, news and market fundamentals in commodity price formation

Forelesninger og øvinger med casestudier og problemløsning. Til casestudiene trenger studentene tilgang til datamaskin med internettforbindelse og software til implementering, f.eks. Matlab. Tilgang til TR Datastream er sterkt ønskelig.

Kurset holdes ved NTNU 15.-19. september 2014.