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Table of Contents
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.
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.