Global Commodity Markets and Structured Energy Derivatives
Component code / course code:
Semester: summer
ECTS credits: 2
Lecture hours per week (SWS):
Lecturer:
Course Language: English
Prerequisites:
Undergraduate level: financial mathematics, probability and statistics, energy economics, fundamentals of energy commercialization
Qualification objectives:
Participants acquire a detailed understanding of how energy and commodities futures and options markets work. Students can select appropriate hedging tools for transferring risks, controlling costs, and protecting profit margins for companies that are either producers or consumers of energy commodities. Moreover, they can implement various strategies to manage commodity prices and spread risks utilizing derivative products. Students also understand the pricing dynamics of energy terms and the underlying energy cash markets. They are hence able to assess developments and price movements in the international markets as well as the potential impact on the national energy sector.
Course contents:
- Fundamentals of commodity spot and futures markets
- Mechanics of futures markets
- Equilibrium relationships of spot and futures prices
- Pricing in the commodity futures market
- Term structure and forward curve
- Theory of storage, inventory, and convenience yield
- Price volatility and seasonality
- Stochastic models for energy prices
- Models of the spot price (mean reversion & jumps)
- Forward curve models
- Energy options
- Practical hedging with energy derivatives
- Structuring energy swaps and options
- Hedging spreads
Teaching format (e.g. online/in person lecture/Seminar/Lab etc.): In person lecture
Examination type: Written exam, 60 minutes
