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.

Sections

This course will be offered next in Winter 2025.