Commodity Markets and Derivatives

The course is held by Associate Professor Svetlana Borovkova from Vrije Universiteit Amsterdam.

Brief outline of the course:
* 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

Lectures and case study/problem solving sessions. For case studies, the students will need an access to a computer with internet connection and a suitable implementation software, such as Matlab. An access to TR Datastream is strongly desirable.

The course will be held at NTNU 15-19 September 2014.