University of Calgary

DATA 610 - Advanced Modelling of Financial and Energy Markets Data - Winter 2024

More advanced coverage of tools and techniques for modelling of financial and energy markets data. Topics will include: modelling of dynamics for forwards and futures in energy and options in financial markets data; Black-76 and Margrabe's formulas for pricing of futures and options contracts; modelling paradigms beyond Black-76; data modelling with stochastic interest rates; one-, two- and three-factor Schwartz's models (with stochastic convenience yield and interest rate) for pricing forward and futures data in energy markets; modelling of high-frequency and algorithmic trading data.
This course may not be repeated for credit.


  • (3-0)


  • Data Science 601, 602, 603 and 604, and admission to the Graduate Diploma in Data Science and Analytics or the Master of Data Science and Analytics with a specialization in Financial and Energy Markets Data Modelling.


This course will be offered next in Winter 2025.
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