GFIN-506 : Seminar in Financial Engineering

The main objective of this course is to provide the student with an in-depth knowledge of financial derivatives with a focus on the electric power industry. The central topics which will be covered, include: The mathematics of financial derivatives, the economics of the energy sector, futures and options as they apply to the current energy sector. Strong emphasis will be placed both on the mathematical modeling of energy derivatives and the practical aspects of energy markets in the U.S. Measures of risk, portfolio management as it applies to energy products, and value at risk (VAR) models will also be covered.