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The IAQF is a not-for-profit, professional society dedicated to fostering the profession of quantitative finance by providing platforms to discuss cutting-edge and pivotal issues in the field.


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Upcoming Events

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

Latest News

September 3, 2024

The IAQF Announces the Winners of the Thirteenth Annual IAQF Academic Affiliate Membership Student Competition

New York, NY, September 3, 2024 -- The International Association for Quantitative Finance (http://www.iaqf.org) is pleased to announce the winners of the Thirteenth Annual Academic Affiliate Membership Student Competition. Twenty-seven teams representing twelve academic programs submitted papers in response to this year's competition problem which focused on risk-neutral probabilities.

Read the full press release here.

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IAQF Senior Fellow Spotlight

                                                                   


James H. Simons

Dr. James H. Simons is Chairman of the Simons Foundation, an organization dedicated to advancing the frontiers of research in mathematics and the basic sciences. The Foundation’s philanthropic activities include a major research initiative on the causes of autism, and the establishment of an institute for research in mathematics and theoretical physics. The Foundation is particularly interested in the growing interface between the physical and life sciences and has established and endowed several such research programs at universities and institutions both in the US and abroad.

Dr. Simons is Board Chair of Renaissance Technologies LLC, a highly quantitative investment firm, from which he retired in 2009 having founded the company and serving as its CEO for over thirty years. Previously he was chairman of the Mathematics Department at the State University of New York at Stony Brook. Earlier in his career he was a cryptanalyst at the Institute of Defense Analyses in Princeton, and taught mathematics at the Massachusetts Institute of Technology and Harvard University.

Dr. Simons holds a B.S. in mathematics from the Massachusetts Institute of Technology and a Ph.D. in mathematics from the University of California at Berkeley. His scientific research was in the area of geometry and topology. He received the American Mathematical Society Veblen Prize in Geometry in 1975 for work that involved a recasting of the subject of area minimizing multi-dimensional surfaces. Dr. Simons' most influential research involved the discovery and application of certain geometric measurements, now called the Chern-Simons Invariants, which have wide use, particularly in theoretical physics.

Dr. Simons is the founder and Chairman of Math for America, a nonprofit organization with a mission to significantly improve math education in our nation’s public schools. He serves as Trustee of Brookhaven National Laboratory, the Institute for Advanced Study, Rockefeller University, the New York Genome Center, Institut des Hautes Études Scientifiques and the Mathematical Sciences Research Institute in Berkeley. He also serves as Board Chair of the Science Philanthropy Alliance. He is a member of the Board of the MIT Corporation and Chair Emeritus of the Stony Brook Foundation. Dr. Simons is a member of the American Academy of Arts and Sciences, the American Philosophical Society and the National Academy of Sciences.

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