Course11010516860 lectures
Commodity Derivatives & Risk Management
Prof. Prabina Rajib · IIT Kharagpur
About
Commodity derivatives market has witnessed tremendous growth in India. Since the setting up of different national level demutualized commodity exchanges such as NCDEX, MCX and NMCE about a decade back, the Indian commodity derivative market has achieved considerable growth in trading volume, types of commodities contracts traded, warehouse development and also has brought in significant changes to spot trading of commodities. The course covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, and electricity. This course will also cover derivative contracts on weather, carbon, freight and real estate traded in international exchanges such as CME, LME, LBMA, DGCX and The Baltic Exchange etc. Fundamental concepts such as value-at- risk based margin calculation, seasonality, minimum variance hedge ratio, basis risk, commodity index creation, pricing and valuation of derivatives contracts will be discussed in earlier part of the course. Subsequently futures, options, swaps, tapos, spread contracts like crack/crush/spark on commodities mentioned earlier can be used by companies to mitigate price risk will also be discussed in detail.
Prerequisites: Corporate Finance, Micro Economics,
Lectures
Week 1
- Lecture 1: Introduction to Commodity Market
- Lecture 2: Commodity Spot Market & Different Types of Auction
- Lecture 3: Commodity Spot Market & Different Types of Auction
- Lecture 4: Introduction to forward contract
- Lecture 5: Introduction to Futures Contract
Week 2
- Lecture 6: Futures Contract Specification
- Lecture 7: Futures Contract Specification (contd.)
- Lecture 8: Futures Contract Specification (contd.)
- Lecture 9: Futures Contract (Different Types of Margins)
- Lecture 10: Futures Contract (Mark-to-Market/MTM Margin)
Week 3
- Lecture 11: Hedgers Vs. Speculators
- Lecture 12: Measures of Speculation
- Lecture 13: Spot Price, Futures Price & Basis Risk
- Lecture 14: Spot Price, Futures Price & Basis Risk (Contd.)
- Lecture 15: Pricing of Futures
Week 4
- Lecture 16: Pricing of Futures (contd.)
- Lecture 17: Convenience Yield, Minimum Variance Hedge Ratio
- Lecture 18: Hedge Effectiveness, Cross Hedge, Stack & Roll Vs. Strip Hedge
- Lecture 19: Calendar Spread, Valuation of Futures vs. Forwards, Commodity Swaps
- Lecture 20: Commodity Swaps
Week 5
- Lecture 21: Commodity Index
- Lecture 22: Commodity Index ( Contd. )
- Lecture 23: Commodity Options
- Lecture 24: Introduction to Commodity Options(cont..), Hedgers vs. Speculators
- Lecture 25: Pricing of Commodity Options
Week 6
- Lecture 26: Commodity Options (cont.), Put-Call Parity & Put-Call Ratio
- Lecture 27: Put-Call Parity, Implied Volatility, Swaptions
- Lecture 28: Commodity Swaption (cont..) & Asian Options on Commodities
- Lecture 29: Commodity Derivatives Market : Value Proposition
- Lecture 30: Commodity Derivatives Market : Value Proposition
Week 7
- Lecture 31: Agricultural Commodity Price Risk Management
- Lecture 32: Agricultural Commodity Price Risk Management (Cont..)
- Lecture 33: Agricommodities Price Risk, Seasonality, Crush Spread Futures
- Lecture 34: Agri-commodity Seasonality, Crush Spread Futures, Salmon Futures
- Lecture 35: Crush Spread Futures, Salmon Futures, Agri-commodity risk Management Practices
Week 8
- Lecture 36: Gold & other Precious Metal Derivatives
- Lecture 37: Gold as Asset, LBMA Spot Price Fix
- Lecture 38: Gold as Asset, ETF, Gold-Silver Ratio
- Lecture 39: Gold Price Risk Management, Dehedge, Zero Cost Derivatives
- Lecture 40 : Gold Quanto Futures, Delta Hedge Trap
Week 9
- Lecture 41 : Crude oil and Crude oil Derivatives Price Risk Management
- Lecture 42 : Crude oil and Crude oil Derivatives Price Risk Management (Cont..)
- Lecture 43 : Crack Spread Futures, Spread Options & Crude Oil Price Risk
- Lecture 44 : Crude Oil Price Risk Management: 3-Way Collar, Spread Options & Swaps
- Lecture 45 : Swaps, Calendar Spreads: Crude Oil & Natural Gas Risk Management
Week 10
- Lecture 46 : Weather Derivatives
- Lecture 47 : Weather Derivatives (continued)
- Lecture 48 : Weather Derivatives (Snowfall, Rainfall & Hurricane)
- Lecture 49 : Weather Derivatives (Rainfall & Hurricane)
- Lecture 50 : Spot & Derivatives Contracts on Electricity
Week 11
- Lecture 51 : Electricity Trading in Day Ahead Market (DAM)
- Lecture 52 : Spot & Derivatives in Electricity (System Price & Area Clearing Price)
- Lecture 53 : Spot & Derivatives in Electricity (Green DAM, Duck Curve, Dark/Spark Spread)
- Lecture 54 : Carbon Credits and Carbon Credit Derivatives Market
- Lecture 55 : Carbon Credits (CDM, JI, RGGI, REC, ESCerts)
Week 12
Syllabus and materials
At NPTEL, as the course publishes them.
Credits and licence
- Institution
- IIT Kharagpur
- Department
- Management
- Teacher
- Prof. Prabina Rajib
- Level
- Graduate
- Language
- English
- Subjects
- Business and management
- Source
- NPTEL
- Licence
- CC BY-NC-SA, as NPTEL states it. Non-commercial use only. NPTEL's terms
- Attribution
- NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
- Who can watch
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