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Events / Thalesians Series

About The Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com).  The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance.  This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.

Call For Speakers

If you are interested in speaking at one of the upcoming seminars, please email info@iaqf.org

Past Seminars

About The Organizer

Harvey Stein is a senior VP in the Labs group at Two Sigma. From 1993 to 2022, Dr. Stein was at Bloomberg, where he served as the head of several departments including Quantitative Risk Analytics, Counterparty and Credit Risk, Interest Rates Derivatives, and Quantitative Finance R&D. Harvey is well known in the industry, having published and lectured on credit risk modeling, financial regulation, interest rate and FX modeling, CVA calculations, mortgage backed security valuation, COVID-19 data analysis, and other subjects.

Dr. Stein is on the board of directors of the IAQF, a board member of the Rutgers University Mathematical Finance program, an adjunct professor at Columbia University, and organizer of the IAQF/Thalesians financial seminar series. He's also worked as a quant researcher on the Bloomberg for President campaign.

Dr. Stein holds a Ph.D. in Mathematics from the University of California, Berkeley (1991) and a B.S. in Mathematics from Worcester Polytechnic Institute (1982).

 



Upcoming Seminars

    • 04 Nov 2024
    • 6:00 PM
    • Fordham University McNally Amphitheater 140 West 62nd Street New York, NY 10023
    Register


    6:00 PM Seminar Begins

    7:30 PM Reception


    Hybrid Event:

    Fordham University

    McNally Amphitheater

    140 West 62nd Street

    New York, NY 10023


    Free Registration!


    For Virtual Attendees: Please select Virtual instead of member type upon registration.

    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.


    Bio:

    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 The Courant Institute of Mathematical Sciences. He is also a senior research fellow with The 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 other news providers, and on social media. He is the author of the book “Virtual Barrels” on quantitative oil trading, which was named among top 10 quantitative books of the year (2023):

    https://www.amazon.com/Virtual-Barrels-Quantitative-Springer-Economics/dp/3031361504

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