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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