An Interactive 10-Day Training Course
Forecasting the Prices of Crude-Oil, Natural-Gas and Refined Products
A Financial-Economics Approach to Forecasting
Course Overview
A critical component of decision-making in the energy industry deals with the aspect of “Whither oil prices?”: Where do we expect prices to move in the near- and distant-terms? Participants in the Energy Industry are constantly confronted with a wide range of information regarding current and prospective prices in their industry. Broadly, this data comes from analyses of supply-and-demand changes, geopolitical events and the financial markets, including the commodity markets.
While providing the requisite background on the economics of financial commodity markets, as well as the statistical tools required to understand them, this training course demonstrates how the financial and commodity markets provide useful information for the generation of “expected prices”, or forecast prices, in the critical areas of oil, natural-gas and refined products. In so doing, the course will also demonstrate the important distinction between valuation and risk / return analysis.
This GLOMACS training course on Forecasting the Prices of Crude-Oil, Natural-Gas and Refined Products will develop an understanding of pricing, risk management, asset valuation and derivatives within the energy markets:
- Learn to use financial models to analyze and forecast energy prices; extrapolate forward prices beyond the liquidity tenor
- Understand the risk of and return from futures and options contracts on energy commodities
- Manage and optimize your organization’s energy risk exposure
- Learn to estimate and calculate volatility in energy prices
- Utilize real options theory to value energy assets; use information from futures / option prices to make optimal production decisions: Optimal timing for extraction, optimal rate at which to extract oil (gas) from a field; value oil fields, pipelines and storage facilities, power plants
Training Outline
DAY 1: The Current State of the Equity & Commodity Markets
- Measuring Nervousness / Uncertainty of Equity and Commodity Markets
- The Crude-Oil Markets: Level and Slope of Crude-Oil Futures Markets; Impact of Economic, Financial and Geopolitical Events on Implied Volatilities in the Crude-Oil Market
- Impact of Seasonality on Global NatGas Markets
- Future Inflation Rates
- The Refining Spread and Retail Gasoline Prices
- The Domestic NatGas Market: The Impact of Seasonality
- The March / April 2007 Futures Contract
DAY 2: A Primer on the Interest-Rate Markets
- Financial Markets’ “Message from Markets”; Interpret bond-market moves in conjunction with those in equity markets
- Empirical Regularities of Global Fixed Income Markets
- Understanding the Fundamentals of Bond Valuation
- Eurodollar Futures and Interest Rate Swaps
- Duration and Convexity: Hedging Interest Rate Exposure
- Interest-Rate Volatility
- Forecasting Future Interest Rates Using
- A Financial-economics Approach
- Practitioners' Approaches
DAY 3: Overview of Statistical Concepts
- Basic Statistical Concepts: Average and Volatility; Stationarity of Time Variables
- Regression Analysis
- Using Solver to Solve Constrained Optimization Problems
DAY 4: Forward, Futures and Swap Contracts in Energy Markets
- Fundamentals of Forwards and Futures Contracts: Definition, Payoff Diagram, Pricing by Arbitrage
- Forward / Futures Prices and Forecast Prices
- Commodity Swaps
- The Key Difference between Real-Asset Valuation and Expected Value
DAY 5: Part I: Option Pricing
- Payoffs and Put-Call Parity
- Black-Scholes Formula
- Option “Sensitivities” (the “Greeks”): Delta and Gamma
- The Binomial Model and the Valuation of American-Style Options
- Real Options in Energy Markets: Power Plants as a Strip of Spark Spread Options; Oil Fields as the Valuation of an Extraction Option
DAY 6: The Statistics of the Price Processes in Energy Markets
- Historical Volatility: The Term Structure of Volatility (TSOV)
- Estimating Volatility from Market Prices of Options in Energy Markets
- Historical or Implied Vols?
- Estimating a Mean-Reverting Process
- Characterizing the Volatility “Surface” Across Time and Strike
- Jump-Diffusion Process
- The Need to Extrapolate in Energy Finance: Valuation of Long-Dated Real Assets and Financial Structured Products; Extrapolating Crude-Oil Prices; Extrapolating Natural-Gas Prices; Extrapolating the Term Structure of Volatilities (TSOV); Extrapolating Correlations
DAY 7: Forecasting the Prices of Oil, Natural-Gas and Refined Products
- The “Market Price of Risk”: Estimating a Risk Premium in Finance, and Applying it to Energy Prices
- How Can Use Regression Analysis to Fortify Our Understanding of Financial Markets’ Perspective on Forecast Prices?
- Where Can We Observe Forecast Prices?
- What is the Difference between Futures Prices and Forecast Prices?
- What is the Capital Asset Pricing Model (CAPM) and How Can We Use it to Forecast Oil Prices?
- Applying a Jump-Diffusion Model to Oil Futures Options
- Using the Market Price of Risk to Implement Risk-Management from a Corporate Perspective
DAY 8 to DAY 10: Energy Derivative Products: The Role of Structuring, Calibration, Valuation and Hedging in Profitable Market-Making
- Commercial Structured Products
- Categorizing Derivative Products: Option Collars, Average Options, Spread Options, Swing Options, Weather Derivatives, Commodity-linked Bonds; “Swing” Options; Weather Derivatives
- Structuring and Valuing Option Collars
- Structuring and Valuing Average (Asian) Options
- Example of Calibration: Using Vanilla Options to Determine the Value of Volatility for Valuation of Average Options
- Non-Commercial Structured Products
Certificates
- On successful completion of this training course, GLOMACS Certificate will be awarded to the delegates
- Continuing Professional Education credits (CPE) : In accordance with the standards of the National Registry of CPE Sponsor, one CPE credit is granted per 50 minutes of attendance
Accreditation
GLOMACS is registered with NASBA as a sponsor of Continuing Professional Education (CPE) on the National Registry of CPE Sponsors. NASBA have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org.
All Training Seminars delivered by GLOMACS by default are eligible for CPE Credit.
Providers and Associations
About Saudi Glomacs
At Saudi GLOMACS, we specialize in delivering world-class training courses in Saudi Arabia and across various international locations. Our training courses are tailored to meet the unique demands of Saudi Vision 2030 and the Human Capability Development Program, focusing on empowering Saudi citizens and enhancing workforce skills. We offer diverse courses spanning leadership, management, engineering, and technical disciplines to cultivate expertise and drive professional growth. Our flexible learning options—whether in-person, online, or in-house—ensure accessibility and convenience for individuals and organizations alike.
With over 30+ years of experience through the GLOMACS global network, we are committed to delivering innovative, results-driven training solutions. Our expert instructors combine industry knowledge with dynamic teaching methods, fostering practical skill development and long-term career success. By choosing Saudi GLOMACS, you're investing in personal excellence and contributing to the Kingdom’s sustainable economic growth and vision-driven transformation.
What do you need to learn next?
Check our list of courses or let us customize a course for you.
View courses
