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Commodity Derivatives and Risk Management

Indian Institute of Technology, Kharagpur via NPTEL

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Overview

Over the last decade, commodity derivatives trading in India has undergone a significant growth and has surpassed equity derivatives trading. The book covers almost the entire spectrum of commodities traded in the Indian commodity market, including agricultural commodities, crude oil, base metal, precious metal, electricity, carbon, weather, freight, real estate and water. A distinguishing feature of the book is that it lucidly explains the peculiarities of various commodities, delving into their technical and historical details. As commodity market in a country cannot function in isolation, commodity contracts traded in other international exchanges, like LME, CME, The Baltic Exchange, Nordpool, etc. have also been discussed in detail. Commodity derivatives contracts, such as futures, FRAs, options, Tapos, swaps, spreads (crush, crack, dark and spark), collars, ETFs, Contract for Differences (CfDs) and cool bonds, etc. have been discussed extensively in the book. Fundamental factors associated with different types of commodities have been dealt with to develop a deeper understanding of the peculiarities associated with various commodities. This book documents the case studies involving important commodity price manipulations and frauds in commodity derivatives trading. These have been analyzed to bring out the necessity and the role of the commodity market regulators in maintaining market integrity. Major commodity derivatives trading losses that have shaken up even some prominent companies all over the world have been discussed to highlight the risks associated with commodity derivatives trading. The book is intended for the postgraduate students of Management and research students pursuing research in financial derivatives. It is equally beneficial for the students and professionals opting for Diploma courses in Banking and Finance.

Syllabus

Week 1:
Introduction to Commodity Derivatives, Commodity Exchanges and Commodity Contracts.
Week 2:
Pricing Commodity Forward, Futures & Options
Week 3:
Agricultural Price Risk Management
Week 4:
Crude oil & Base Metal Derivatives
Week 5:
Gold & Electricity Price Risk Management
Week 6:
Weather and Carbon Derivatives
Week 7:
Derivatives on Freight, Water, Property and Payroll
Week 8:
Lessons from major commodity price manipulations and commodity derivative losses

Taught by

Prabina Rajib

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