Professor Pirrong's Class Materials Page

Financial Engineering Materials

• Syllabus
• Overheads
• Swap Valuation Spreadsheet (PDF)
• Homework 1
• Homework 2
• Homework 3
• Homework 4
• Supply, Demand and Volatility
• Forward Curves
• Lead Supply of Storage
• Copper Volatility
• Brent Variances and Correlations
• Brent-WTI Basis
• BP Propane "Lessons Learned"
• TET Propane Spreads February 2004
• Article 1 on Brent Squeezes
• Article 2 on Brent Squeezes
• Article 3 on Brent Squeezes
• Brent Program September 2001
• Senate Analysis of Brent Squeezes
• Platts Presentation on Brent Squeezes and Contract Changes
• VaR Calculations and Data
• Daily Gas Prices (Columbia Pipeline)
• WTI Nearby Price
• Daily PJM On Peak Price
• PJM Hourly Real Time Price
• Fitted and Actual Power Prices vs. Load
• Power Graphs
• Pirrong Article on Metallgesellschaft
• Option Strategy Payoff Diagrams
• Energy Micropricing Overheads
• Black Model Gamma Hedging Example
• Futures put call parity spreadsheet (PDF)
• Futures Binomial Spreadsheet (PDF)
• Black Model Example PDF
• Black Model Spreadsheet (with Graphs)
• Black Gamma Hedge Example PDF
• Homework 1 Answers
• Homework 2 Answers
• Homework 3 Answers
• Homework 4 & 5 Answers
• FINAL EXAM (Word document)
• Streetwise Professor Information