S. Jaimungal
Department of Statistics and Mathematical Finance Program, University of Toronto

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Short Course on Commodity models and derivatives

Class Notes / Lectures :

This is a short intro course on commodity models and derivatives:

Topic Class Notes
Basic introduction to commodity markets, prices, data, and derivative products Intro.pdf
Spot Price Models; one factor models; two factor models; stochastic convience yield models SpotModels.pdf
Forward price models; basic forward price models; HJM models; string / market models; functional principal component analysis FowardModels.pdf
Electricity Models; Jump-diffusion models; regime switching models; threshold models Electricity.pdf
Numerical Methods; basic MC methods; bridges; least square MC; Trees Numerical.pdf

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