Energy Derivatives

ENERGY MARKETS

Introduction
  • History of energy markets: oil, gas, electricity, CO2
  • Structure of OTC and exchange-traded markets
  • Market participants and their objectives
Determinants of Market Prices
  • Spot references (e.g.: oil, gas, electricity, CO2)
  • Elements that impact markets
  • Forward prices (price formation, structures)
  • Development and use of forward curves: inter-maturity spreads/
  • inter-market spreads
  • Exchange-traded instruments (examples and exercises)

OTC ENERGY DERIVATIVES

Derivatives (swaps, options, hedging strategies)
  • Characteristics
  • Components of pricing
  • Sensitivities
  • Uses
  • Strategies (examples and uses)
  • Practical workshop
  • Simulate customer hedging strategies
Theoretical Models
  • Black & Scholes
  • Volatility (notions and calculation)
  • Practical workshop
  • Price options using Black & Scholes
Risk Management
  • Mark-to-Market and Value At Risk
  • Swap management
  • Delta-neutral option management (examples)
  • Practicalworkshop
  • Manage price risk for a customer (producer/consumer/refiner)

  • Understand the dynamics of energy markets
  • Hedge exposure with commodity derivatives
  • Implement a dynamic risk management policy
  • Gain the fundamental knowledge to understand energy markets and their participants
  • Understand the risks involved in order to optimise hedging capacities
  • Structure standard options to implement complex tailor-made hedging tools
  • Learn the essentials of book running (speculation and hedging)
  • This course is not suitable for delegates who already master hedging strategies and in particular option strategies

    • E-learning
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