Sorry, you need to enable JavaScript to visit this website.

Join Dr. Ilia Bouchouev at the next London Society Meeting and enjoy in-person networking with your fellow quant finance professionals.


Event 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.      


About the Speaker:

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