SEMINAR: Statistics Seminar
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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
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