2: Commodity Price Mechanisms

  • Prices and Indices
  • Exchanges: ICE,Group- NYMEX, Mercantile Exchange, The Baltic Exchange
  • Role of indices
  • Futures markets and price discovery
  • Formula based pricing
  • Average nature of forward curves
  • Importance of spreads
  • General overview of instruments: Trading and clearing mechanisms
  •  A taxonomy of commodities: storability and seasonability forwards, futures, swaps
  • Spot price behaviour
  • Mean reversion
  • Volatility and seasonality
  • Role of the forward when trading
  • Shape of the forward curve and relationship with spot prices

 

Professor: Professor Craig Pirrong

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