Advanced Topics In Equity & Energy Derivatives

Catalog description

The course provides a comprehensive overview of commonly traded quantitative strategies in financial and energy markets, bridging concepts from quantitative finance and energy economics. Key topics include theories of storage, net hedging pressure, optimal hedging, and risk transfer equilibrium. Throughout the course, emphasis is placed on understanding the behavior of various market participants and designing trading strategies to monetize inefficiencies arising from their activities and hedging needs. Structural changes such as the financialization of energy commodities, cross-market spillovers, and linkages to other financial asset classes are discussed in detail. Trading strategies covered include traditional risk premia, volatility, correlation, and higher-order options Greeks, with a particular focus on equity derivatives instruments, including volatility and correlation modeling, exotic options, and structured products. Case studies and real market data are used to illustrate key concepts. Additionally, the course explores meta-mathematical topics such as the practical and regulatory aspects of setting up a hedge fund, offering a practitioner’s perspective on advanced financial topics.