Introduction to Commodity Markets

Grow your understanding of quantitative analysis for commodity markets

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Course Dates

STARTS ON

June 8, 2022

Course Duration

DURATION

7 weeks, online
4–6 hours per week

Course Fee

PROGRAM FEE

US$2,200 US$2,024 or get US$220 off with a referral

Course Information Flexible payment available
program fee

US$2,200 US$2,024

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Overview

Global energy as a service market is growing, but energy derivatives are unique even among other commodities. For example, energy prices are significantly more volatile than benchmarks in other markets, equities, rates, and currencies. Furthermore, supply and demand can fluctuate rapidly on a daily or even an hourly basis for a variety of reasons.

Due to these and other complex characteristics, energy markets and derivatives require special attention and special risk management tools. The Introduction to Commodity Markets program is designed to introduce financial professionals to the intricacies of energy markets, starting at the macro level with main markets and structures and progressing to topics including basic commodity structures and instruments, statistical analysis, commodity forwards, swaptions, and spread options.

As a participant, you will gain practical experience in building pricing and hedging models specifically for energy derivatives and complete a final project using data analysis to solve a real commodity market problem.

Prerequisites: Prior knowledge of Python programming will make it easier to work with the data sets in this program, however it is not a requirement, and the tasks can also be completed with Microsoft Excel. Participants will also need to have an understanding of quantitative analysis and stochastic calculus.

$86.9B

Global energy as a service market is on the rise and expected to hit $86.9 billion by 2024, growing from an estimated $52 billion in 2019 at a CAGR of 10.8%.

SOURCE: Market Reports

59%

Energy prices tracked by the Goldman Sachs Commodity Index (GSCI), rose by 59% between the first and closing trading days of 2021, higher than all other commodities.

SOURCE: Today in Energy

"This course will be useful for someone who intends to work in the commodities field and will be working on pricing and risk management of energy derivatives."
—Roza Galeeva, Adjunct Professor, NYU Tandon Finance and Risk Engineering

Who Is This Program For?

This program was designed to provide an introduction to commodities markets—specifically to energy markets and their complexities—for finance professionals who may or may not have previously worked with energy derivatives or commodities but have a keen interest in them.

It is ideal for early- to mid-level finance or investment professionals looking to:

  • Gain a deeper understanding of the quantitative methods used in commodity markets as well as correlation and volatility in energy markets
  • Get an overview of important fundamental and econometric attributes of the core markets
  • Understand commonly traded instruments in energy markets and their basic evaluation

Professionals looking to build a deeper technical understanding of the commodity markets and how to conduct their own analyses may also find the program beneficial.

Program Highlights

Throughout this seven-week program, you will get an introduction to energy derivatives and what sets them apart from other commodities as well as the tools needed to price them and assess their volatility.

  • IDENTIFY the history and key concepts of commodities trading that make them unique in the finance world
  • INTERPRET and evaluate core commodities data
  • ANALYZE volatility and correlations in commodities
  • CALCULATE the impact of swaptions (options on certain swaps) and Greeks (mathematical equations that offer greater sensitivity) on derivatives
  • USE data analysis to solve a commodities market problem

Program Syllabus

Explore the world of commodities through the lens of energy markets. You’ll learn what sets them apart and the various economic factors and volatility involved in trading them.

Module 1:

Introduction to Commodity Markets

Review the history, key concepts, main commodity markets, and energy consumption metrics.

  • Identify key concepts of commodities trading
  • Match energy consumption metrics to the correct commodity
  • Calculate and convert basic energy units used for trading commodities
  • Analyze current pricing of commodities

Module 2:

Basic Commodity Structures and Instruments

Examine basic commodity structures and instruments in order to classify energy derivative products.

  • Classify energy derivative products
  • Identify the unique characteristics of the standard derivative products in energy markets
  • Pricing of the standard derivative products in energy markets

Module 3:

Statistical Analysis of Commodities Data

Explore the role of data in commodities modeling and review how to apply statistical tools.

  • Identify the importance of data analysis in commodities modeling
  • Review statistical tools applied in commodities modeling
  • Calculate statistical data of commodities

Module 4:

Dynamics of Commodity Forwards

Understand the volatility structure in commodity forwards and then calculate correlations for them.

  • Identify properties of correlations in commodity forwards
  • Calculate correlations for commodity forwards
  • Calibrate forms of the Samuelson model to predict a rise in futures price return volatility as the futures contract approaches its expiration date

Module 5:

Swaptions

Analyze swaptions that deal specifically with correlations in commodities.

  • Identify the volatility structure in commodities forwards
  • Calculate the properties of swaptions
  • Value a swaption using the Monte Carlo framework
  • Calculate swaptions and Greeks

Module 6:

Spread Options

Evaluate spread options that deal specifically with futures and calculate these options.

Module 1:

Introduction to Commodity Markets

Review the history, key concepts, main commodity markets, and energy consumption metrics.

  • Identify key concepts of commodities trading
  • Match energy consumption metrics to the correct commodity
  • Calculate and convert basic energy units used for trading commodities
  • Analyze current pricing of commodities

Module 4:

Dynamics of Commodity Forwards

Understand the volatility structure in commodity forwards and then calculate correlations for them.

  • Identify properties of correlations in commodity forwards
  • Calculate correlations for commodity forwards
  • Calibrate forms of the Samuelson model to predict a rise in futures price return volatility as the futures contract approaches its expiration date

Module 2:

Basic Commodity Structures and Instruments

Examine basic commodity structures and instruments in order to classify energy derivative products.

  • Classify energy derivative products
  • Identify the unique characteristics of the standard derivative products in energy markets
  • Pricing of the standard derivative products in energy markets

Module 5:

Swaptions

Analyze swaptions that deal specifically with correlations in commodities.

  • Identify the volatility structure in commodities forwards
  • Calculate the properties of swaptions
  • Value a swaption using the Monte Carlo framework
  • Calculate swaptions and Greeks

Module 3:

Statistical Analysis of Commodities Data

Explore the role of data in commodities modeling and review how to apply statistical tools.

  • Identify the importance of data analysis in commodities modeling
  • Review statistical tools applied in commodities modeling
  • Calculate statistical data of commodities

Module 6:

Spread Options

Evaluate spread options that deal specifically with futures and calculate these options.

NOTE: We are not financial advisors. Any information provided is not intended and should not be relied on for investment or financial advice. You should consult your own investment, tax, legal, and accounting advisors before engaging in any transaction.

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Practical Application (Project)
Use data analysis to solve a real commodity market problem in this final project.

Here’s a summary of what the final project entails:

  • CHOOSE from one of two areas of focus—swaptions or spread options
  • GATHER statistical data for a commodity and generate a report of your findings based on your selections
  • CONDUCT both a swaption and spread option analysis if you're interested in completing both (but only one is required to complete the program)
  • USE your programming skills (a prerequisite not covered in this program) to gather the data and conduct a quantitative analysis

More instructions and details will be provided throughout the program.

NOTE: We are not financial advisors. Any information provided is not intended and should not be relied on for investment or financial advice. You should consult your own investment, tax, legal, and accounting advisors before engaging in any transaction.

Program Faculty

Profile picture of course faculty & description, DR. ROZA GALEEVA

Dr. Roza Galeeva

Adjunct Professor, NYU Tandon, Finance and Risk Engineering

Dr. Roza Galeeva is an adjunct professor at New York University, Department of Finance and Risk Engineering. She has extensive experience with over 18 years in commodity derivatives—modeling, pricing, and risk management... More info

Certificate

Certificate

Upon successful completion of the program, participants will be awarded a verified digital certificate by NYU Tandon.

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