IM6 · Commodity Instrument Engineering

Commodity Exotic & Path-Dependent Options

Model the path. Simulate the payoff. Hedge what moves.

Master exotic and path-dependent commodity options: Asian and average-strike structures, barriers and digitals, one-touch and range, lookback and cliquet, compound and chooser, basket and rainbow, quanto and spread options including crack and spark, with Monte Carlo methods, calibration, risk and CTRM representation.

Asian & averaging · Barriers & digitals · Lookback · Basket & rainbow · Spread options · Monte Carlo · CTRM

Enrol or enquire See the 100 chapters

100 chapters · 10 modules · multi-commodity · one continuous instrument estate

How it is built

Design it, book it, value it, risk it, operate it, implement it

100 chapters does not mean 100 definitions. This programme follows the academy's standard ten-module architecture, so the instrument is taken from first principles through to a working CTRM representation, using the same structure as every other programme in the academy.

Worked cases run on NorthStar Global Commodities, a fictional instrument book created for teaching. It does not describe any real firm, person or transaction.

Curriculum

10 modules · 100 chapters

M0 Exotic Option Foundations Ch 1-10 · 10 chapters
  1. What Makes a Commodity Option Exotic
  2. Path Dependence
  3. State Variables in Exotic Valuation
  4. Exotic Payoff Representation
  5. Observation Schedules
  6. Fixings, States and Path History
  7. Model Risk in Exotic Commodity Options
  8. Exotic Options vs Structured Products
  9. Exotic Option Lifecycle
  10. NorthStar Exotic Option Estate
M1 Asian & Averaging Options Ch 11-20 · 10 chapters
  1. Average Price Options
  2. Arithmetic vs Geometric Averaging
  3. Fixed-Strike Asian Calls
  4. Fixed-Strike Asian Puts
  5. Average Strike Options
  6. Partial Averaging Windows
  7. Weighted Average Options
  8. Double-Average Options
  9. Asian Spread Options
  10. Asian Option Valuation Lab
M2 Barrier, Digital & Trigger Options Ch 21-30 · 10 chapters
  1. Barrier Option Foundations
  2. Up-and-In Options
  3. Up-and-Out Options
  4. Down-and-In Options
  5. Down-and-Out Options
  6. Double Barrier Options
  7. Window Barrier Options
  8. Digital Options
  9. One-Touch and No-Touch Options
  10. Barrier and Digital Option Lab
M3 Range, Lookback & Path-State Structures Ch 31-40 · 10 chapters
  1. Range Accrual Options
  2. Binary Range Structures
  3. Commodity Corridor Options
  4. Lookback Options
  5. Fixed-Strike Lookback Calls and Puts
  6. Floating-Strike Lookbacks
  7. Cliquet Options
  8. Ratchet Structures
  9. Cumulative Path-Dependent Payoffs
  10. Path-State Engine Lab
M4 Spread, Basket & Multi-Asset Options Ch 41-50 · 10 chapters
  1. Commodity Spread Options
  2. Crack Spread Options
  3. Spark Spread Options
  4. Clean Spark Spread Options
  5. Dark and Clean Dark Options
  6. Basis Options
  7. Basket Options
  8. Best-of and Worst-of Options
  9. Rainbow Commodity Options
  10. Multi-Asset Option Valuation Lab
M5 Quanto, Currency & Hybrid Market Exposures Ch 51-60 · 10 chapters
  1. Commodity Quanto Options
  2. Quanto Adjustment
  3. Commodity-FX Hybrid Options
  4. Cross-Currency Commodity Options
  5. Commodity-Rate Hybrid Optionality
  6. Inflation-Linked Commodity Options
  7. Commodity Index Options
  8. Commodity Equity-Linked Hybrid Concepts
  9. Hybrid Correlation Risk
  10. Quanto & Hybrid Valuation Lab
M6 Exotic Pricing Models & Numerical Methods Ch 61-70 · 10 chapters
  1. Why Black-76 Is Not Enough
  2. Monte Carlo Simulation Fundamentals
  3. Monte Carlo Convergence
  4. Variance Reduction
  5. Quasi-Monte Carlo
  6. Lattice and Tree Methods
  7. Finite-Difference PDE Methods
  8. Least-Squares Monte Carlo
  9. Numerical Model Selection
  10. Numerical Pricing Engine Lab
M7 Commodity Dynamics, Calibration & Model Risk Ch 71-80 · 10 chapters
  1. Mean Reversion in Commodity Prices
  2. Seasonality in Commodity Models
  3. Multi-Factor Commodity Models
  4. Jump Processes
  5. Stochastic Volatility
  6. Local Volatility
  7. Correlation Calibration
  8. Model Calibration
  9. Model Validation and Benchmarking
  10. Exotic Model-Risk Case
M8 Greeks, Hedging, Credit & Lifecycle Ch 81-90 · 10 chapters
  1. Exotic Greeks
  2. Barrier Greeks and Hedge Instability
  3. Correlation Greeks
  4. Exotic P\&L Explain
  5. Hedging Asian Options
  6. Hedging Barriers and Digitals
  7. Exotic Counterparty Credit Exposure
  8. Exotic Option Lifecycle Events
  9. Exotic Settlement and Accounting
  10. Exotic Option Control Framework
M9 CTRM/ETRM Engineering & Capstone Ch 91-100 · 10 chapters
  1. Generic Exotic Payoff Data Model
  2. Observation & Path-State Data Model
  3. Multi-Underlying Architecture
  4. Exotic Pricing Service Architecture
  5. Simulation Platform Architecture
  6. Exotic Risk Engine
  7. Lifecycle Engine for Path-Dependent Trades
  8. Complex Multi-Commodity Exotic Architecture Case
  9. Tier-1 Exotic Option Implementation Lab
  10. NorthStar Exotic Options Capstone
How it is delivered

Three ways to take Commodity Exotic & Path-Dependent Options

Self-paced is a document-and-media programme with lifetime access - no live sessions. Cohort and enterprise add live instructor-led training. Mentorship is not offered in any tier.
Feature Self-paced Cohort Enterprise
Format Written chapters, video explainers and podcasts Everything in self-paced, plus scheduled live sessions Everything in cohort, delivered privately to your team
Live sessions None Scheduled, instructor-led Scheduled, instructor-led, private
Mentorship Not offered Not offered Not offered
Access Lifetime Lifetime Lifetime for every enrolled seat
Pace Entirely your own Guided schedule with a peer group Agreed with your desk
Tailoring Fixed curriculum Fixed curriculum Sequenced to your markets, systems and governance
Best for Individuals learning around a job Individuals who want structure and deadlines Desks building the same capability together
For individuals

Get the programme guide

The full chapter list, what each module covers, and how the tiers compare - sent to your inbox as a PDF.

For teams

Run this for my desk

Private delivery for your desk, sequenced to your markets and systems. Tell us the team and we will scope it.

Run this for my desk

Bring this to your desk

Download the full curriculum, or talk to us about running it for a team.

Enrol or enquire See the whole academy