Mathematical Finance & Financial Data Science Seminar

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Modelling the Oil Squeeze: Storage and Trading Opportunities in Oil Derivatives

Speaker: Ilia Bouchouev, Pentathlon Investments LLC

Location: Online

Date: Tuesday, March 30, 2021, 5:30 p.m.

Synopsis:

In response to a recent episode of negative oil prices, we propose a new analytical framework which captures commodity price dynamics near storage boundaries. We discuss how the presence of storage creates salient features of oil price dynamics which can be exploited via systematic and option-based trading strategies.  

Speaker Bio
Ilia Bouchouev is the former president of Koch Global Partners, where he launched and managed global derivatives trading business for over 20 years, including one of the industry’s largest energy options portfolios. He is currently Managing Partner at Pentathlon Investments, LLC, an Adjunct Professor at New York University, and a Research Associate at Oxford Institute for Energy Studies. He has Ph.D. in Applied Mathematics and published in internationally recognized journals on derivatives pricing, inverse problems and the economics of energy markets. 

 

Notes:

This event is free, but requires registration.  Please click here to register.