SEMINAR: Statistics Seminar

Commodities as an asset class have experienced somewhat of a surge in interest over the past ten years, driven largely by an increase in demand from newly industrialising countries, but also by investor appetite for investment opportunities that are weakly correlated with more liquid financial markets. Commodities can be very broadly categorised into three major areas - metals, energy and agricultural. In this talk, I shall introduce the typical financial instruments encountered by energy quants (quantitative analysts), such as futures, options on futures, swaps and Asians. It will be seen that market quotes exist which can be used to calibrate implied volatility surfaces, which are used for option pricing. Examples will be given to show how futures curves and volatility surfaces typically evolve, using the benchmark WTI crude oil as an example (we discuss natural gas and gasoline also). While I shall discuss some aspects of pricing and theory, the talk will be primarily descriptive and will be accessible to a non-mathematical audience with an interest in resource markets. ALL ARE WELCOME TO ATTEND THE SEMINAR