Presentation : Introduction to Commodities Modelling

I gave a presentation (PDF) earlier in the week to some past students of the Wilmott CQF course which I took myself back in 2008. The topic was ‘Introduction to Commodities Modelling’.

The audience members were mainly finance professionals (both in London where I gave the talk, as well as various other financial centres where people logged in to watch online). Typical CQF graduates are very good at mathematical finance with strong commercial experience of equities/interest rates/credit products, so I was “talking to the converted”.

The aim was to give a flavour of commodities as an asset class, show how each commodity is different and to cover some of the modelling tools that can be used depending on the problem, such as Geometric Brownian Motion, mean reverting processes, regime shifts, spike modelling, seasonality, the ‘convenience yield’ concept, etc.

The presentation I gave is here (PDF) (with slight modifications – I’ve improved the presentation slightly since I gave the talk).


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