Futur markets and simulation

Part 1 (J-C Statnik) Futures markets and derivatives: Fundamentals 16h

5. Futures markets : an overview(4h)
a. Forward contracts- Futures contracts
b. The Over-the-Counter Market
c. Simple hedging strategies
d. Forward – Futures prices relationship

6. Price determination of futures (3h)
a. Report – Backwardation
b. Basis principles

7. Option Markets (3h)
a. Option positions
b. Types of options
c. Applications

8. Option valuation (6h)
a. Binomial treesMéthode binomiale
b. Black et Scholes
c. « Les Grieks »
d. Applications


Part 2 (D. Verstraete) Commodities Futures markets and derivatives : Agricultural applications 16h

5. Major markets for commodities (4h)
a. Grain Markets
b. Oil markets
c. Livestock markets
d. Energy markets
e. Typology of futures markets

6. Hedging strategies and the storage (4h)
a. Illustration of a stock hedging
b. Hedging stratégies and the basis risk
c. Applications

7. Practical hedging stratégies (4h)
a. The optimal hedging ratio
b. Risk-neutral positions
c. Options and futures combination.

8. Using derivatives concepts in agricultural economics (4h)
a. Real options
b. Hedging the risk of production
c. Agricultural insurances
d. Agricultural supports and the markets for derivatives