Phd Course “commodity Markets and Derivatives” Norwegian University If Science and Technology, Trondheim
نویسنده
چکیده
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.
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STEINAR ENGEN*, RUSSELL LANDE†, BERNT-ERIK SÆTHER‡ and THOMAS BREGNBALLE§ * Department of Mathematical Sciences, Norwegian University of Science and Technology, N-7491 Trondheim, Norway; † Department of Biology 0116, University of California − San Diego, La Jolla, CA 92093, USA; ‡ Department of Zoology, Norwegian University of Science and Technology, N-7491-Trondheim, Norway; and § National Env...
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