Monthly Archives: August 2011

Brent-WTI oil price differential widens

Posted by Murat Gencer on August 28, 2011 No comments

http://business-standard.com/india/news/brent-wti-oil-price-differential-widens/446322/

In February this year, crude oil watchers noticed that the US market was not moving to the fluctuations in global prices. So much so, the price differential between the West Texas Intermediate (WTI), based at Cushing in Oklahoma, and London’s Brent, started widening. By mid-July, the differential peaked to $23 a barrel from $2-3 earlier; it’s now in the range of $20.

In India, where a combination of Brent and Dubai-Oman crude decides the economics of the oil sector, many started wondering whether to drop Brent from the so-called Indian crude oil basket and get WTI instead. After all, it would give an advantage of $20 a barrel to the index that gives a 35 per cent weightage to Brent.

Experts and oil professionals reject the proposition outright. The reason is the same as what global oil watchers usually point to — WTI is not a barometer for the global oil market. “It is a localised inland index and quite disconnected to global trade,” says Victor Shum, managing consultant, Purvin & Gertz, an international energy consultancy.

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Mark Joshi’s advice to wannabe quants

Posted by Serhat Yucel, FRM on August 23, 2011 No comments

Proffesor Joshi, a researcher and consultant on mathematical finance shares his valuable advices for wannabe quants in the following link: http://www.markjoshi.com/downloads/advice.pdf Read more »



Lookback Option Pricing

Posted by Özgür Ünal Onbirler on August 19, 2011 No comments

Pricing excel for Lookback call and put options with fixed strike prepared by myself…

LBFK



WTI-Contango, Brent-Backwardation, WTI hit a record discount of more than $24 a barrel to Brent.

Posted by Murat Gencer on August 18, 2011 No comments

What are the reasons of that?
€/$ parity? turmoil in Eurozone? supply side effects?



Implied volatility Newton`s Method with Matlab

Posted by Emre Ozcan on August 16, 2011 2 comments

There is a simple matlab code for finding implied volatility with using Newton`s Method

%current stock price
S0=100;
%strike price
K=100;
%maturity
t=1;
%risk-free rate
rf=0.05;
%volatility
vol=0.30;
%call-price
C=blsprice(S0,K,rf,t,vol)
%implied volatility-newton method
fzero(@(x)blsprice(S0,K,rf,t,x)-C,1)