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Course Details

Fall 2010-2011
ORF 474  

Special Topics in Operations Research and Financial Engineering - Energy, Commodity, and Fixed Income Markets

Michael C. Coulon

An introduction to the unique features and mathematical models used in commodity markets (energy, metals, agricultural products), as well as fixed income and foreign exchange markets. Energy and other commodities represent an increasingly important asset class for financial institutions. Emphasis is on the application of financial mathematics to a variety of products and markets. Topics include: energy prices (including oil, gas, and power); cap and trade markets (carbon emissions); storable vs. non-storable commodities; short rate models; forward curves and calibration; swaps and options on interest rates and commodities.

Sample reading list:
Eydeland, A & Wolyniec, K, Energy and Power Risk Management
M. Baxter and A. Rennie, Financial Calculus: An Introduction to Derivative Pricing
Sundaresan, S, Fixed Income Markets and their Derivatives
Hull, J, Options, Futures and Other Derivatives

Reading/Writing assignments:
6-8 homeworks (incl some MATLAB coding), occasional readings.

Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%

Other Requirements:
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 335 or permission of instructor..

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
26820 L01 3:00 pm - 4:20 pm M W   Friend Center   004   Enrolled:35 Limit:50
P01 7:30 pm - 8:20 pm M   Engineering Quad D-Wing   D221   Enrolled:0 Limit:50