Upcoming Presentation on Commodity Modelling, London

January 26, 2010

I will be presenting a talk on commodities modelling to past alumni of the Wilmott Certificate in Quantitative Finance on 9th February 2010. The content will be at a level suitable for those unfamiliar with the commodity asset class. The topics will include:

o) commodities as an asset class
o) commodity contracts
o) details of the oil, gas and electricity markets
o) spot price modelling of the above markets, including modelling jumps and the use of Markov regime switches
o) commodity correlation (inter-commodity, temporal and locational)

If you are a past CQF delegate, please come along at 7city training, London (map).

Choosing a Dissertation Topic : Financial Engineering

January 20, 2010

My slides for the presentation to the Masters in Financial Engineering students at Birkbeck, University of London are here.

Presentation : Choosing a Dissertation Topic

January 11, 2010

I recently gave a presentation to the students studying ‘MSc Finance’, and ‘MSc Finance and Commodities’ at Birkbeck, University of London on the subject of ‘choosing a dissertation topic’. The slides are here.

‘Frozen Britain’ – monitor our national electricity and gas situation

January 6, 2010

Gas: The current amount of gas stored in UK in long, medium and short-term storage is available in a spreadsheet from National Grid (click top link). For comparison, see the 2008-2009 spreadsheet. More information is available at the ‘prevailing view’.

Electricity : monitor UK’s instantaneous electricity demand here, from National Grid

Peak Oil and Energy Price Volatility

January 5, 2010

I’ve been reading a couple of good (short) books on peak oil. The first is Beyond Oil: The View from Hubbert’s Peak. This presents a good description of Hubbert’s “Peak Oil” theory and why the author (Kenneth Deffeyes, a close friend and colleague of Hubbert) places peak oil at 2004.

Interestingly, one of the features of a system with excess capacity (e.g. OPEC) which gradually runs out of spare capacity, is that volatility greatly increases. This is a result from queueing theory, and is exactly what we’ve seen in energy prices in recent years. I aim to study this further.

The 2nd book is The End of Oil: The Decline of the Petroleum Economy and the Rise of a New Energy Order. The author, Paul Roberts, covers a similar topic and argues that the short-sighted nature of the US Political and economic system, mainly concerned with immediate profits and getting voted back into office, means that long term decisions such as mandating more efficient cars, are forever ‘put off’ in preference for short-term profits.