Energy, Commodity and Environmental Finance

3 credits · Graduate Programs

Topics include specific areas of mathematical finance and build on Mathematics 681 and 683. Energy and commodity markets; spot, futures, forwards and swap contracts; the theory of storage; stochastic models for energy prices; model calibration; emissions market modelling; weather derivatives; energy risk management; energy option valuation. Prerequisite(s): Mathematics 681 and 683 and admission to a graduate program in Mathematics and Statistics or consent of the Department.