Benoit Guilleminot

CEO, SMILE Investment solutions

Commodities

Les objectifs du cours

Commodity markets have experienced exceptional turmoil over the past 7 years. The arrival of new players in futures markets has drastically changed the behavior of commodities prices, connecting them to equity and currency markets. The objective of this course is to provide an economic understanding of the latest developments in commodity markets, grasp the financial, social and regulatory challenges behind commodity investing as well as the necessary concepts and tools to i) evaluate and hedge business exposure to commodities price fluctuations, ii) construct physical or paper trading strategies on commodities markets, iii) price and hedge complex commodity derivatives (on paper contracts or spot price) iv) present risk measurement and stress testing principles for commodity portfolios.

Plan du cours

  • Introduction
  • Spot prices models
  • Forward curves
  • Options pricing models (Futures options, real options)
  • Commodities investing (properties, indices, relations to other asset classes and hedge funds strategies)
  • Commodities hedging business case: airlines jet fuel supply strategies

Bibliographie

Eydeland A., Wolyniec K., Energy and Power Risk Management : New Developments in Modeling, Pricing, and Hedging, WileyEurope (2003).
Geman H., Commodities and Commodity Derivatives : Modelling and Pricing for Agriculturals, Metals and Energy, Wiley Finance (2005).
Intelligent Commodity Investing, edited by H.Till and J. Eagleeye, Riskbooks (2007).
Risk Management in Commodity Markets, edited by H.Geman, Wiley ed (2008).

Examen

One assignment  (30% of final grade), final exam (70% of the final grade).