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Course Details

Spring 2011-2012
ORF 474   Graded A-F, P/D/F, Audit

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:
Eydeland, A. & Wolyniec, K., Energy and Power Risk Management
Baxter, M and Rennie, A., 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 Home works (including MATLAB coding)

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.

Other information:
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.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
40673 L01 01:30:00 pm - 02:50:00 pm M W   Sherrerd Hall   101   Enrolled:13 Limit:40
P01 07:30:00 pm - 08:20:00 pm M   Sherrerd Hall   101   Enrolled:0 Limit:40