ORF 474 Graded A-F, P/D/F, Audit
Special Topics in Operations Research and Financial Engineering - Energy, Commodity, and Fixed Income Markets
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
6 Home works (including MATLAB coding)
Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%
Not Open to Freshmen.
Prerequisites and Restrictions:
ORF 335 or instructors permission required.
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.
|40673||L01||1:30 pm - 2:50 pm||M W||Sherrerd Hall 101||Enrolled:13 Limit:40|
|P01||7:30 pm - 8:20 pm||M||Sherrerd Hall 101||Enrolled:0 Limit:40|