Virtual barrels : quantitative trading in the oil market / Ilia Bouchouev.
Bouchouev, Ilia, author.
2023
HG6047.P47
Available Online

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Title Virtual barrels : quantitative trading in the oil market / Ilia Bouchouev.
Author Bouchouev, Ilia, author.
ISBN 9783031361517 (electronic bk.)
3031361512 (electronic bk.)
9783031361500
3031361504
DOI https://doi.org/10.1007/978-3-031-36151-7
Published Cham : Springer, [2023]
Copyright ©2023
Language English
Description 1 online resource (xiii, 346 pages) : illustrations (chiefly color).
Item Number 10.1007/978-3-031-36151-7 doi
Call Number HG6047.P47
Dewey Decimal Classification 338.2/3
Summary 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. Praise for Virtual Barrels: "Sure to become a classic reference text" — Owain Johnson, Global Head of Research and Product Development, CME Group "A must read for anyone interested in a deep understanding of the behaviour of oil prices and volatility" — Dr Bassam Fattouh, Director, Oxford Institute for Energy Studies "Perfect for both seasoned professionals and students alike" — Professor Petter N. Kolm, Courant Institute of Mathematical Sciences, New York University, Quant of the Year 2021.
Bibliography, etc. Note Includes bibliographical references and index.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed December 6, 2023).
Series Springer texts in business and economics. 2192-4341
Available in Other Form Print version: 9783031361500
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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.

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