Learning Platform - "Trade Compliance & Surveillance"

Course: Modelling

About the online training programme

This course covers how flexibility in commodity & energy portfolios can be viewed. Based on the real option approach flexibility can be modeled in terms of optionality. It is explained that this is useful for valuation and hedging purposes, plus how this can take place.

Course Contents

This course covers the following video lessons:

1. For valuation & hedging purposes
2. Spread option valuation
3. Storage capacity – Hedging the time spread exposure
4. Storage capacity – Time spread option
5. Storage capacity – Hedging call on time spread
6. Storage capacity – Complexity
7. Transport capacity – Hedging the location spread exposure
8. Transport capacity – Location spread option
9. Production & consumption capacity – Margin option
10. Production & consumption capacity – Power plants
11. Production & consumption capacity – Refinery & crusher
12. Hedging spread options versus hedging capacity
13. Liquidating hedge on outright position
14. Liquidating hedge on storage capacity
15. Liquidating hedge on transport capacity
16. Liquidating hedge on processing capacity
17. Dynamically hedging an outright option
18. Dynamically hedging a spread option – Strategy
19. Dynamically hedging a spread option – Details
20. Model versus reality – Mismatch of characteristics
21. Model versus reality – Number of options & granularity
22. Model versus reality – Path-dependency
23. Model versus reality – Path-dependency – Forward start option
24. Model versus reality – Path-dependency – Exchange option
25. Model versus reality – Path-dependency – Lookback option
26. Model versus reality – Path-dependency – Barrier option
27. Modelling power generation capacity – Types of capacity
28. Modelling power generation capacity – Gas plant – Cross-commodity options
29. Modelling power generation capacity – Gas plant – Number of options
30. Modelling power generation capacity – Gas plant – Specific characteristics