To register please complete the details below and return to the following address:Commodities Finance CentreDepartment of Economics, Maths and StatisticsBirkbeck CollegeMalet StreetLondonWC1E 7HX

Fax: 020 7631 6416 Or pay online at https://www2.bbk.ac.uk/cfc/

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Venue:Four Seasons HotelCanary WharfWestferry CircusLondon, E14 8RS

Fees:£1,100 (including VAT) This includes lunch and refreshments

Disclaimer: We reserve the right to make any alterations to the programme.Cancellation: If you have registered but are unable to attend, you may transfer your registration to a colleague. We will give you a full refund if you cancel your registration more than four weeks prior to the event. We regret that no refunds can be given after this period

Commodities Finance Centre

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COMMODITIES 2007

January 19th

Agriculturals, Energy & Metals Keynote Speaker:

Prof Eduardo Schwartz UCLA

Invited Speakers:Dr Etienne Amic CalyonDr Robert Doubble BPDr Alexander Eydeland Morgan StanleyProf Hélyette Geman BirkbeckJames Grove Barclays CapitalMichael Lewis Deutsche BankDr Aram Sogomonian Constellation Energy

http://www.bbk.ac.uk/cfc

Conference Sponsored by

COMMODITIES 2007: Friday 19th January8.30-9.00Registration and coffee9.00-9.10Welcoming Address

9.10-9.55Dr Alexander Eydeland

Energy Derivatives: New Developments and Challenges

The variety of risks encountered in energy markets How to protect and maximise the value of physical assets?Hybrids and new trends in energy derivatives

Dr Alexander Eydeland is Executive Director at Morgan Stanley in charge of global commodities analytic modeling. His previous positions include Head of Research at Mirant Corp., and Vice President with Lehman Brothers and Fuji Capital Markets. He holds a Ph.D. degree in Mathematics from Courant Institute of Mathematical

Sciences and has published extensively on risk management, scientific computing, optimization and mathematical economics. Eydeland is a co-author of the book "Energy and Power Risk Management" published in 2002 by Wiley.

9.55-10.40Prof Hélyette Geman

Inventory, Forward Curve and Stochastic Volatility in Commodity Markets

Volume risk as the crucial risk in energy commodity marketsThe role of inventory in explaining the shape of the forward curve in metals and Agriculturals Theory of storage revisited: the effect of depleting underground reserves for metals and oil pricesCommodities as a multi-asset class

Prof Hélyette Geman is a Professor of Mathematical Finance and Director of the Finance Commodities Centre at Birkbeck, University of London. She is a graduate of École Normale Supérieure in Mathematics, holds a Masters in Theoretical Physics, a PhD in Probability from the Univ Pierre et Marie Curie and a

PhD in Finance from the Univ Panthéon Sorbonne. Her research includes asset price modelling using Lévy processes, exotic option pricing and commodity spot and forward curve dynamics modelling, and she is one of the authors of the CGMY model.She has published more than 80 papers in top international journals and was the first President of the Bachelier Finance Society. Professor Geman has been a scientific advisor to a number of major energy companies for the last decade, and in 2005, published the reference book “Commodities and Commodity Derivatives”.In 2004, she was named in the Hall of Fame of Energy Risk.

10.40-11.00Coffee/Tea

11.00-11.45Dr Robert Doubble

BP Case Study:Valuing & Hedging an LNG Contract

Overview of BP's LNG trading activitiesExample of an LNG supply agreementDistilling the trade term sheetValuing the embedded optionalityIdentification of the dynamic hedging strategy & monetising the option value.

Dr Robert Doubble heads BP's Quantitative Finance Centre in London where he has worked for the past four years. Previous roles include working in NEGP's gas and power operations team providing 24-7 logistics and trading support for the desk's UK and continental Europe activities and various upstream petroleum engineering roles within

BP. He has a PhD in Solid State Physics where he studied quantum critical electronic behaviour, and a BSc in Mathematics and Physics.

11.45-12.45Keynote Speech by Prof Eduardo Schwartz Unspanned stochastic volatility and the pricing of commodity derivatives

Evidence of unspanned stochastic volatility from crude-oil futures and optionsA new model for pricing commodity derivatives featuring unspanned stochastic volatilityApplications of transform techniquesApplications of the model for pricing, hedging and risk-managing crude-oil derivatives

Prof Eduardo Schwartz is the California Professor of Real Estate and Professor of Finance at Anderson Graduate School of Management, UCLA. He has an Engineering degree from the University of Chile and a Masters and Ph.D. in Finance from the University of British Columbia. His research includes interest rate models, asset allocation

issues, evaluating natural resource investments, pricing Internet companies, the stochastic behaviour of commodity prices and valuing patent-protected R&D projects. His collected works include more than ninety articles in finance and economic journals, two monographs and an edited book. He is the winner of a number of awards for both teaching excellence and for the quality of his published work and has been the associate editor for more than a dozen journals He is past president of the Western Finance Association and the American Finance Association and is a Fellow of the Financial Management Association International. He is a Research Associate of the National Bureau of Economic Research and has acted as consultant to governmental agencies, banks, investment banks, asset management firms and industrial corporations.

12.45-13.50Lunch

13.50-14.35Dr Etienne Amic

Case Study: From Precious Metals to Electricity and Agricultural Commodities

Price statistics: financial time series, spikes, squeezes and panicsHow do various commodities interact with each other?The transmission channels of price shocks Is it possible to draw a map of the risks in a global commodities portfolio?

Dr Etienne Amic is Global Head of Commodities at Calyon. He was manager of the Origination Group at Total Gas & Power Ltd, and Head of structured products and power trading. Prior to 2000, he was a trader at Total Oil Trading SA (TOTSA) in Geneva, the crude oil and refined products trading entity of the Total Group. Etienne is a former

student of École Normale Supérieure and is an Ingénieur du Corps national des mines. He holds advanced degrees in Quantum Physics and in Financial and Commodity Markets (DESS 203) from Dauphine University. 14.35-15.20Michael Lewis

Commodities Outlook: Opportunities & Pitfalls in 2007Directional, curve and volatility trading Opportunities across the commodities complex

Michael Lewis joined Deutsche Bank in 1990. Michael is the Global Head of Commodities Research. Michael's group analyses the macro fundamental forces driving commodity markets with the aim of delivering directional, curve and volatility trading strategies with particular focus on the global energy, industrial metals, precious

metals and European power, freight and coal markets. Before joining Commodities Research in 2003, Michael was the Deputy Head of Foreign Exchange Research.Michael holds a BSc in Economics from the University of Bristol and an MSc in Economics from the London School of Economics.

15.20-15.40Coffee/Tea

15.40-16.25Dr Aram Sogomonian

Coal and Freight MarketsUK/European/International businessCoal/Freight business real options discussionStochastic Network optimization involving financial options

Dr Aram Sogomonian is Senior Vice President and Head of the Risk Management Group at Constellation Energy. His responsi-bilities include risk management activities for the CECG business and Enterprise Wide risk organization. Prior to Constellation, Aram held a variety of management positions at Pacificorp, Edison and Enron.

Aram has a PhD in Management Science from UCLA, an MSc in Operations Research and a BA in Applied Mathematics and Economics from Berkeley.

16.25-17.10James Grove

Commodities as an asset classExamples of modelling challenges: high vol, seasonality, low liquidity, rotation risk Implications for risk management: case study: forward start call options.Correlation trading in commodities: the burgeon-ing interbank marketCase study: FX-Commodity and IR-Commodity hybrids

James Groves is Director and Head of Commodity Hybrids Trading at Barclays Capital. On joining the organisation in 2002, he was initially responsible for precious metals risk in the Asian time zone. In 2004 he moved to multi-asset commodity derivatives. Prior to joining Barcap James managed the precious metals exotics risk at Credit Suisse.

James holds an MA in Mathematics from Cambridge.

Conference sponsor:

"Few organisations can compare with BP for the sheer scale of our business activities. Each day we physically move massive quantities of oil, gas and refined products around the world through supply chains of immense complexity. A large part of our success rests on our ability to enhance the value we create across every link in these chains.Enhancing value is at the heart of what we do in BP's Integrated Supply & Trading (IST) function. Working in some of the most dynamic market environments, we apply trading, supply, risk management and information technology skills underpinned by a world-class control infrastructure.We work in close partnership with BP's three business segments -exploration and production, refining and marketing and gas, power and renewables - to generate additional value by managing the flow of commodities and determining the best route from wellhead to market,ensuring that the right choices are made at each step of the way in light of prevailing market conditions."

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