This course is an introduction to commodities markets (oil, gas, metals, electricity, etc.), and quantitative approaches to capturing uncertainties in their demand and supply. We start from a financial perspective, and traditional models of commodity spot prices and forward curves. Then we cover modern topics: game theoretic models of energy production (OPEC vs. fracking vs. renewables); quantifying the risk of intermittency of solar and wind output on the reliability of the electric grid (mitigating the duck curve); financialization of commodity markets; carbon emissions markets. We also discuss economic and policy implications.
ORF 455 / ENE 455