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Course Offerings

Course Details

Spring 2012-2013
ORF 474  

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

Michael C. Coulon

This course introduces the unique features and mathematical models used in commodity (energy, metals, agricultural, etc.), and fixed income markets (bonds, rates, swaps, etc). While interest rate markets are a well-established field, commodities are an increasingly important asset class for financial institutions, policy makers and many investors. Mathematical finance approaches developed for stocks can be adapted to understand price behavior in these more complex markets. Topics include: energy prices; storable vs non-storable commodities; power and emissions; short rate models; forward curves and calibration; option pricing techniques.

Sample reading list:
Hull, J., Options, Futures and other Derivatives
James, J. & Webber, N., Interest Rate Modeling
Eydeland, A. & Wolyniec, K., Energy and Power Risk Management
Clelow, L. & Strickland, C., Energy Derivatives Pricing and Risk Management
Pirrong, C., Commodity Price Dynamics: A Structural Approach

Reading/Writing assignments:
Four homeworks (including some coding)

Requirements/Grading:
Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%

Other Requirements:
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 335 or instructors permission required.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
40431 L01 1:30 pm - 2:50 pm T Th   Sherrerd Hall   101   Enrolled:23 Limit:40
P01 7:30 pm - 8:20 pm T   Friend Center   006   Enrolled:0 Limit:40