LEADER 04889nam 22006975 450 001 9910767568603321 005 20251009080453.0 010 $a9783031361517 010 $a3031361512 024 7 $a10.1007/978-3-031-36151-7 035 $a(MiAaPQ)EBC30983239 035 $a(Au-PeEL)EBL30983239 035 $a(DE-He213)978-3-031-36151-7 035 $a(CKB)29181348300041 035 $a(OCoLC)1412622249 035 $a(EXLCZ)9929181348300041 100 $a20231201d2023 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aVirtual Barrels $eQuantitative Trading in the Oil Market /$fby Ilia Bouchouev 205 $a1st ed. 2023. 210 1$aCham :$cSpringer Nature Switzerland :$cImprint: Springer,$d2023. 215 $a1 online resource (345 pages) 225 1 $aSpringer Texts in Business and Economics,$x2192-4341 311 08$aPrint version: Bouchouev, Ilia Virtual Barrels Cham : Springer,c2024 9783031361500 327 $aChapter 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. 330 $aThe global oil market is no longer solely influenced by the supply and demand of physical oil barrels. In today's landscape, financial barrels traded by hedge funds using quantitative algorithms and dealers managing large portfolios of oil derivatives are equally crucial in determining the price of oil. This book offers a fascinating insight into the world of oil derivatives, exploring the quantitative models and trading strategies used by professional market participants. With a focus on oil options and volatility trading, the reader is taken on a journey through the story of this market, narrated by one of its pioneers who managed a highly successful trading business for almost a quarter of a century. Bridging the fields of energy economics and mathematical finance, this book demonstrates how the science of trading can unearth unique opportunities in the oil market. Written for aspiring quantitative traders and academic researchers alike, it offers a rare glimpse into the opaque and secretive world of oil derivatives, showcasing how it operates in practice. Praise for Virtual Barrels: "Sure to become a classic reference text" ? Owain Johnson, Global Head of Research and Product Development, CME Group "A must read for anyone interested in a deep understanding of the behaviour of oil prices and volatility" ? Dr Bassam Fattouh, Director, Oxford Institute for Energy Studies "Perfect for both seasoned professionals and students alike" ? Professor Petter N. Kolm, Courant Institute of Mathematical Sciences, New York University, Quant of the Year 2021. 410 0$aSpringer Texts in Business and Economics,$x2192-4341 606 $aSocial sciences$xMathematics 606 $aPower resources 606 $aIndustries 606 $aFinancial services industry 606 $aFinance 606 $aMathematics in Business, Economics and Finance 606 $aNatural Resource and Energy Economics 606 $aIndustries 606 $aFinancial Services 606 $aFinancial Economics 615 0$aSocial sciences$xMathematics. 615 0$aPower resources. 615 0$aIndustries. 615 0$aFinancial services industry. 615 0$aFinance. 615 14$aMathematics in Business, Economics and Finance. 615 24$aNatural Resource and Energy Economics. 615 24$aIndustries. 615 24$aFinancial Services. 615 24$aFinancial Economics. 676 $a338.23 676 $a338.23 700 $aBouchouev$b Ilia$01453341 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910767568603321 996 $aVirtual Barrels$93655933 997 $aUNINA