Commodities and Commodity Derivatives (Part 2)
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Date: 04-21-2009
Start Time:
3:00pm
End Time: 5:00pm
Speaker: Helyette Geman, Director, Commodity Finance Centre, Birkbeck, University of London & ESCP- EAP
Location: Mudd 303
ABSTRACT
The second part of the course will describe a number of models for commodity spot prices, electricity in particular. The valuation of physical and financial options such as sparkspreads, Asian options, swing options, commodity quantos, will be proposed under various models.