Seminar: Dr Ilia Bouchouev: Virtual Barrels: Quantitative Trading in Oil Market

PLEASE NOTE THAT THIS IN-PERSON EVENT WILL START ON THURSDAY, 11 APRIL, 2024, AT 6:30 PM BST (LONDON TIME) (1.30 PM EST (NEW YORK TIME)) at G-Research offices.

This event is organized by Thalesians Marine Ltd and Thalesians Ltd and is sponsored by G-Research (Silver Sponsor), First Derivatives plc (Bronze Sponsor), KX, Inc. (Bronze Sponsor), Turnleaf Analytics (Bronze Sponsor), Packt (Media Partner).

This event is hosted by G-Research, Europe's leading quantitative finance research firm: We hire the brightest minds in the world to tackle some of the biggest questions in finance. We pair this expertise with machine learning, big data, and some of the most advanced technology available to predict movements in financial markets.

Venue: G-Research, Whittington House, 19-30 Alfred Place, London, WC1E 7EA

Arrival time of 18:00 (London) and talk starts at 18:30 (London).

Seminar will last between 1 to 1.5 hours, followed by networking / food / drinks.

Please note that your Meetup profile must include your full name (and the full names of all your guests) in order to be admitted by the venue, G-Research (health and safety regulations). If it doesn't include it, please email it to alex@thalesians.com along with your profile name.

FULL TITLE: Virtual Barrels: Quantitative Trading in the Oil Market

ABSTRACT

We start by explaining the crucial role of storage in trading energy commodities, such as oil. The price of oil is then modelled as a financial derivative of stochastic inventories with boundary conditions given by two extreme cases of inventory “stock-outs” and “tank-tops”. We then explain how popular systematic strategies of carry and momentum originate from the theory of storage and how they are supported by the behavior of inventory hedgers. Subsequently, we move to options trading and discuss the volatility risk premium and optimal delta-hedging techniques. We conclude by presenting a novel quadratic normal model for option pricing, which has proven to be very effective in trading volatility arbitrage strategies in the oil market.

BIOGRAPHY

Dr. Ilia Bouchouev is the former President of Koch Global Partners where he launched and 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 pioneers in energy options trading. He is currently a managing partner at Pentathlon Investments and an adjunct professor at New York University, where he teaches energy trading at Courant Institute of Mathematical Sciences. He is also a senior research fellow with Oxford Institute for Energy Studies.

Ilia Bouchouev published many articles in top academic journals on energy markets and derivatives modelling. He is frequently quoted by Wall Street Journal, Bloomberg, many news providers, and on social media. He is the author of the recently published book “Virtual Barrels” on quantitative oil trading: https://www.amazon.com/Virtual-Barrels-Quantitative-Springer-Economics/dp/3031361504