| This blog on commodities, financial modelling and related topics is written by Will Smith. I’m a PhD student at Birkbeck, University of London studying Commodities Modelling (formally, I’m studying Mathematical Finance) under the supervision of Hélyette Geman.
To get in touch, please email me. |
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Hi
I came across one of your posts in the CQF alumni forums that mentioned you would be giving a lecture on commodities next week. I had already attended a previous lecture on commodity pricing and found it to be quite interesting. The only thing that I found was lacking was the presenter explained the commodities market and methodology to do the price but did not spend alot of time walking us threw an actual model. As a suggestion, I think if you added an example of a model either in excel or matlab and walked us threw it, it would be very beneficial to the audiences understanding. This is just a suggestion and was wondering what you take would be on it. Thank in advance.
Sure, I’ll be covering a number of features that models for different markets should have, as well as looking at a specific model for electricity that captures spikes. However I won’t have time to talk in detail about calibration.
Hi Will,
Really liked your website, I have read some of the papers you mentioned. I am currently working on the implementation of Gabillon Model for Crude Oil prices, have you implemented/used that model? Can you email me the details? it would really help a lot.
Hi Dr. Smith,
Great blog site. I am very interested in how to build forward curve model in energy trading desk. Since i am working in banks rather than the real word of commodity market, I wonder if you have some simple data points and code (e.g., SAS, Matlab, R, S-plus, etc) to share with us. Also, some forward curve building 101 articles would be greatly appreciated.
I maintained a personal wordpress powered website focus on risk management side in north America (I am in Calgary, Canada). Learning by doing …
Thanks
K.L
Hi Will,
Congrats for your website. Very interesting.
I have heard you are doing a thesis with Geman, great idea!
Hope to see you soon.
Take care,
Alban