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Cover: 9783031361500 | Virtual Barrels | Quantitative Trading in the Oil Market | Bouchouev
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Virtual Barrels
Quantitative Trading in the Oil Market
Buch von Ilia Bouchouev
Sprache: Englisch

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Beschreibung
The global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil.
This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century.
Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice.
The global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil.
This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century.
Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice.
Über den Autor
Dr. Ilia Bouchouev is the former President of Koch Global Partners, where he managed global derivatives trading business for over 20 years. Over the years, he introduced several energy derivatives products and was recognized as one of the leading experts in quantitative energy trading. He is currently managing partner at Pentathlon Investments and adjunct Professor at New York University where he teaches energy trading at Courant Institute of Mathematical Sciences. He has Ph.D. in Applied Mathematics.
Zusammenfassung

Describes the evolution of quantitative trading in the oil market

Explains trading models used by hedge funds and professional commodity traders

Introduces novel approaches to pricing of oil options and to the theory of storage

Inhaltsverzeichnis
Chapter 1. Introduction.- Part 1. Economic Foundations, Markets, and Participants.- Chapter 2 Oil, Money, and Yields.- Chapter 3. Fundamentals, Storage, and The Model of the Squeeze.- Chapter 4. Financialization and the Theory of Hedging Pressure.- Part 2. Quantitative Futures Strategies.- Chapter 5. Systematic Risk Premia Strategies.- Chapter 6. Quantamentals.- Chapter 7. Macro Trading.- Part 3. Volatility Trading.- Chapter 8. Options and Volatilities.- Chapter 9. The Hidden Power of Negative Gamma.- Chapter 10. Volatility Smile Trading.- Part 4. Over-the-Counter Options.- Chapter 11. Volatility Term Structure and Exotic Options.- Chapter 12. Volatility Arbitrage and Model Calibration.- Chapter 13. Spread Options and Virtual Storage.- Chapter 14. Epilogue.-
Appendices. Option Pricing, Stochastic Processes, and Differential Equations.- A. Diffusions and Probabilities.- B. Option Pricing Under Normal and Lognormal Distributions.- C. The Pertubation Method and Quadratic Normal Model.- D Option Pricing with Time-Dependent Volatility.- E. Average-Price Options.- Glossary.- References.- Index.
Details
Erscheinungsjahr: 2023
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Reihe: Springer Texts in Business and Economics
Inhalt: xiii
346 S.
3 s/w Illustr.
89 farbige Illustr.
346 p. 92 illus.
89 illus. in color.
ISBN-13: 9783031361500
ISBN-10: 3031361504
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Bouchouev, Ilia
Hersteller: Springer Nature Switzerland
Springer International Publishing AG
Springer Texts in Business and Economics
Maße: 241 x 160 x 24 mm
Von/Mit: Ilia Bouchouev
Erscheinungsdatum: 02.12.2023
Gewicht: 0,771 kg
Artikel-ID: 126937304
Über den Autor
Dr. Ilia Bouchouev is the former President of Koch Global Partners, where he managed global derivatives trading business for over 20 years. Over the years, he introduced several energy derivatives products and was recognized as one of the leading experts in quantitative energy trading. He is currently managing partner at Pentathlon Investments and adjunct Professor at New York University where he teaches energy trading at Courant Institute of Mathematical Sciences. He has Ph.D. in Applied Mathematics.
Zusammenfassung

Describes the evolution of quantitative trading in the oil market

Explains trading models used by hedge funds and professional commodity traders

Introduces novel approaches to pricing of oil options and to the theory of storage

Inhaltsverzeichnis
Chapter 1. Introduction.- Part 1. Economic Foundations, Markets, and Participants.- Chapter 2 Oil, Money, and Yields.- Chapter 3. Fundamentals, Storage, and The Model of the Squeeze.- Chapter 4. Financialization and the Theory of Hedging Pressure.- Part 2. Quantitative Futures Strategies.- Chapter 5. Systematic Risk Premia Strategies.- Chapter 6. Quantamentals.- Chapter 7. Macro Trading.- Part 3. Volatility Trading.- Chapter 8. Options and Volatilities.- Chapter 9. The Hidden Power of Negative Gamma.- Chapter 10. Volatility Smile Trading.- Part 4. Over-the-Counter Options.- Chapter 11. Volatility Term Structure and Exotic Options.- Chapter 12. Volatility Arbitrage and Model Calibration.- Chapter 13. Spread Options and Virtual Storage.- Chapter 14. Epilogue.-
Appendices. Option Pricing, Stochastic Processes, and Differential Equations.- A. Diffusions and Probabilities.- B. Option Pricing Under Normal and Lognormal Distributions.- C. The Pertubation Method and Quadratic Normal Model.- D Option Pricing with Time-Dependent Volatility.- E. Average-Price Options.- Glossary.- References.- Index.
Details
Erscheinungsjahr: 2023
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
Reihe: Springer Texts in Business and Economics
Inhalt: xiii
346 S.
3 s/w Illustr.
89 farbige Illustr.
346 p. 92 illus.
89 illus. in color.
ISBN-13: 9783031361500
ISBN-10: 3031361504
Sprache: Englisch
Ausstattung / Beilage: HC runder Rücken kaschiert
Einband: Gebunden
Autor: Bouchouev, Ilia
Hersteller: Springer Nature Switzerland
Springer International Publishing AG
Springer Texts in Business and Economics
Maße: 241 x 160 x 24 mm
Von/Mit: Ilia Bouchouev
Erscheinungsdatum: 02.12.2023
Gewicht: 0,771 kg
Artikel-ID: 126937304
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