Professor Pirrong's Class Materials Page

Energy Derivatives

• FINAL EXAM (Word Document)
• Homework 5 Answers
• Syllabus
• Homework 1
• Overheads I
• Overheads II
• Overheads III
• Overheads IV
• Overheads V
• Commodity Trading Firm Overheads
• Commodities Demystified
• Pirrong Commodity Trading Firm White Paper
• Pirrong CTF Not To Big To Fail White Paper
• Pirrong LNG White Paper
• The Shape I'm In--Canadian Crude
• Pirrong Commodities Book Manuscript
• Energy "Bully" Graphs
• Swap Valuation Spreadsheet (PDF)
• Supply, Demand and Volatility
• Forward Curves
• Lead Supply of Storage
• Copper Volatility
• Brent Variances and Correlations
• Brent-WTI Basis
• Bitcoin Delivery Settlement
• Manipulation Optimization Spreadsheet
• WSJ VIX Manipulation
• Pirrong Ferruzzi Paper
• Pirrong Manipulation Survey Article
• BP Propane "Lessons Learned"
• TET Propane Spreads February 2004
• Senate Analysis of Brent Squeezes
• Platts Presentation on Brent Squeezes and Contract Changes
• Hedge Exemption
• Calculating Value-at-Risk
• VaR Overview
• VaR Calculations and Data
• Crude Oil Hedging and VaR Spreadsheet
• 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
• Streetwise Professor Information