The Department of Finance and Risk Engineering welcomes Roza Galeeva, Adjunct Professor, NYU Tandon FRE, to the BQE Lecture Series.
In Pursuit of Samuelson: Studies of Commodity Volatilities and Correlations
Empirical analysis of price returns is an essential component in the valuation methods in any asset class. Energy commodities present unique challenges: seasonality and inventory are crucial for covariance structure; forward price volatility increases dramatically while approaching contract’s expiration: the famous Samuelson effect; liquidity in commodity futures and options liquidity is concentrated at short tenors.
This fact makes the term structure of volatility and correlations very important in pricing and hedging decisions. In this presentation, I give the results of my work with NYU students devoted to this subject. We will follow three goals:
- Parameterization of Samuelson effect and the calibration procedures for commodities futures, including seasonal commodities as gas and power.
- Samuelson effect for commodity correlations, parameterizing calendar correlations.
- Contrast between the traditional Black and its long-ago predecessor Bachelier model in view of recent dramatic events in oil markets in Spring 2020.
Roza Galeeva has extensive experience of over 18 years with commodity derivatives – modelling, pricing, and risk management. She has been employed at senior levels as a quant at Williams Energy, Northeast Utilities, and most recently, for 13 years, 2005-2018 at Morgan Stanley. She worked at MS in different roles and departments, including the Valuation Group, and later the MS strats and modelling group. Prior to the industry, Roza was teaching courses in mathematics in different countries. She has a PhD from Moscow State University in Mathematical Physics. She published papers in geometry, PDE, dynamical systems, and financial engineering. She made her come back to academia in 2017 at NYU with teaching courses in financial engineering and working with NYU students on research projects on Commodity Derivatives.