Oil Markets in 2020: The Implications of Prices, Volatilities and Correlations

VIERNES 30 Y SÁBADO 31 DE OCTUBRE
DURACIÓN: 16 HORAS
HOTEL JW MARRIOTT SANTA FE

WORKSHOP EN INGLÉS

TEMARIO:
Día 1
Sesión Matutina
• Understanding the Relationship between the Equity and Oil Markets
– Definition of Implied Volatility
– Calculation of Historical Volatility
– A Historical Perspective on Implied Vol
– The VIX/V1X/VNKY Indices
– From VIX to OVX: Extending Implied Vols from the Equity to the Oil Markets
• The Equity Markets since mid-Feb. 2020:
– VIX and the “Term Structure” of VIX
– Oil markets’ OVX and its term structure
• Understanding the Difference between Historical and Implied Vols in the Oil
Market
• The Informativeness of the Oil Vol “Skew”
• The Natural-Gas Markets in the First Half of 2020
• A Brief Comment on the Credit Markets: U. S. Corporate High Yield
Sesión Vespertina: Commodity Volatilities
• Volatility Structure of Commodity Futures
– Samuelson effect
– Different forms of Samuelson parameterization
– Calibration procedures of Samuelson parameters
– Samuelson for seasonal Commodities
– Samuelson for Bachelier vol
• Analysis of historical and implied volatilities on different time periods, including
Spring 2020
• Skew parameterization of commodity volatility surface
Día 2
Sesión Matutina
• The Oil Markets since mid-Feb. 2020
– Indicators of the Current Situation: Oil Prices;
Slope of the Curve; Prices of oil equities
– Similarities and Differences from Dec. 2008
– What can we learn from professionals’ oil-price forecasts?
– How Meaningful is the WTI’s One-Day Negative Price?
• Correlation in the Oil, Natgas and Equity Markets
– Can we empirically distinguish supply- and demand-side aspects of the
current crisis?
– Correlations within the Natgas Market
Sesión vespertina: Commodity Correlations
• Commodity Correlation Products
• Modeling Commodity Correlations
– Model decay and growth for oil calendar
correlations
– Calendar Correlations for seasonal commodities
– Calibration with use of realized historical
correlations
– Calibration with use of implied correlations
from CME calendar spread options.
• Analysis of recent trends
• Application of the model to price oil swaption

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Oil Markets in 2020: The Implications of Prices, Volatilities and Correlations