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Course Details

Spring 2013-2014
ORF 455   No Audit

Energy and Commodities Markets

René A. Carmona

This course is an introduction to commodities markets (energy, metals, agricultural products) and issues related to renewable energy sources such as solar and wind power, and carbon emissions. Energy and other commodities represent an increasingly important asset class, in addition to significantly impacting the economy and policy decisions. Emphasis will be on the application of Financial Mathematics to a variety of different products and markets. Topics include: energy prices (including oil and electricity); cap and trade markets; storable vs non-storable commodities; financialization of commodities markets; applications of game theory.

Sample reading list:
Eydeland, A. & Wolyniec, K., Energy and Power Risk Management
G. Swindle, Valuation and Risk Management in Energy Markets
The Economist, Guide to Commodities: Producers, players and

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

Requirements/Grading:
Mid Term Exam - 30%
Final Exam - 40%
Problem set(s) - 30%

Other Requirements:
Open to Juniors, Seniors, and Graduate Students Only.

Prerequisites and Restrictions:
ORF335 or instructor's permission required.

Reserved Seats:
Juniors and Seniors Only 25
Open to Graduate Students Only 15

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
41853 L01 1:30 pm - 2:50 pm T Th   Sherrerd Hall   101   Enrolled:10 Limit:40
41854 P01 7:30 pm - 8:20 pm M   Friend Center   008   Enrolled:10 Limit:40