Virtual Barrels Quantitative Trading in the Oil Market /
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 pric...
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| Autor Corporativo: | |
| Formato: | Recurso Electrónico livro electrónico |
| Idioma: | inglês |
| Publicado em: |
Cham :
Springer Nature Switzerland : Imprint: Springer,
2023.
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| Edição: | 1st ed. 2023. |
| Colecção: | Springer Texts in Business and Economics,
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| Assuntos: | |
| Acesso em linha: | https://doi.org/10.1007/978-3-031-36151-7 |
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Sumário:
- 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.