Rates Models & Commodity Derivatives

Two curve-driven worlds in one track: interest-rate models, short-rate dynamics, no-arbitrage trees, calibration and forward-rate models, with the caps, floors and swaptions they price, and commodity derivatives, from futures curves and convenience yield to seasonality, delivery and energy markets.

What this track covers

1. 01
   Short-rate dynamics
   Vasicek, CIR, Hull-White: modelling the one rate everything else hangs off.
   13 min
2. 02
   No-arbitrage short-rate trees
   Fit a recombining tree to today's curve, then price off it.
   14 min
3. 03
   Calibrating to the market
   Bend the model until it reprices the curve and the vol surface.
   13 min
4. 04
   Forward-rate models (HJM & LMM)
   Evolve the whole curve at once, not just the short rate.
   14 min
5. 05
   Caps, floors & swaptions
   The vanilla rate-vol products every model is judged against.
   14 min
6. 06
   Commodity forwards & cost of carry
   Why the commodity curve isn't just discounted spot, carry, storage & convenience yield.
   14 min
7. 07
   Seasonality, delivery & energy curves
   Forward curves as physical calendars: seasonality, delivery, basis and energy markets.
   14 min
8. 08
   Commodity hedging & optionality
   Producers, consumers, basis risk and the optionality hidden in physical contracts.
   15 min
9. 09
   Model risk, stress testing & collateral
   Why a price is the start of the risk questions: model risk, stress, margin and liquidity.
   14 min
10. 10
    Integrated pricing workflow & final check
    One workflow: exposure → curve → model → calibration → price → hedge → stress → residual.
    15 min
11. Quiz
    Quiz · Rates & commodities check
    10 questions across rate models, calibration, curves, carry, hedging and risk control.
    10 min

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