Advanced Modelling and Analysis of Commodity Derivatives

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Advanced Modelling and Analysis of Commodity Derivatives

London Financial Studies
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Description

This 3-day intensive programme reviews the best practice in quantitative modelling for commodity derivatives. The emphasis is on the pricing, hedging, and risk management of energy and metals derivatives and their price behaviour within the commodities market. Excel-based practical exercises will cover:

  • Stochastic modelling of commodities markets
  • Analysing volatility in the commodities markets
  • Structuring and pricing commodity derivatives
  • Monte-Carlo simulations and pricing methodologies
  • Pricing exotic commodity derivatives

Audience:

  • Commodity derivatives professionals
  • Quantitative analysts
  • Risk managers
  • Structurers
  • IT professionals
  • Energy company risk managers
  • Insurance c…

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Didn't find what you were looking for? See also: Commodities, Equities, Accounting, Risk Analysis, and Risk Management.

This 3-day intensive programme reviews the best practice in quantitative modelling for commodity derivatives. The emphasis is on the pricing, hedging, and risk management of energy and metals derivatives and their price behaviour within the commodities market. Excel-based practical exercises will cover:

  • Stochastic modelling of commodities markets
  • Analysing volatility in the commodities markets
  • Structuring and pricing commodity derivatives
  • Monte-Carlo simulations and pricing methodologies
  • Pricing exotic commodity derivatives

Audience:

  • Commodity derivatives professionals
  • Quantitative analysts
  • Risk managers
  • Structurers
  • IT professionals
  • Energy company risk managers
  • Insurance companies


Peter Leoni graduated with a PhD in mathematical physics and then stumbled into the fascinating world of finance. He started his professional career in Belgium working for KBC Asset Management as a risk manager, modelling equity and interest rate derivatives. Later on he moved to ING as a front office quant on the exotic derivatives desk and even before the credit crunch hit, he decided Energy modelling has a lot of unsolved issues and he chose to change his career path towards commodities, and energy in particular. He spent 4 years in the trading unit of GDF Suez in Brussels. After this, he worked for a private fund in Geneva, Macquarie Bank in London and currently for the London/Geneva office of a privately owned trading firm. Since 2011 he also holds a position of visiting professor for the Catholic University of Leuven in Belgium.

Professor Schoutens is Research Professor in financial engineering in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has extensive practical experience of model implementation and is well known for his consulting work in the banking industry. Wim is also the author of Lévy Processes in Finance: Pricing Financial Derivatives and co-editor of Exotic Option Pricing and Advanced Lévy Models both published by Wiley. His research interests cover all areas of financial mathematics, and recent publications cover jump driven credit models as well as equity models, model risks, hedging of exotics and multivariate financial modelling.

He is also an independent expert advisor to the European Commission (DG-Competition) on “State aid assessment of valuation of impaired assets and of asset relief measures” and is a Managing Editor of the International Journal of Theoretical and Applied Finance and Associate Editor of Mathematical Finance and Review of Derivatives Research.

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