A Tale of Two Options

DATE: November 3, 2009

TIME: 11:00 AM – 12:00 PM

LOCATION: IC 209

FEES: none

EVENT CONTACT:

Shi-Jie Deng, Industrial and Systems Engineering
Contact Shi-Jie Deng
404-894-6519

TITLE: A Tale of Two Options

SPEAKER: Stinson Gibner

ABSTRACT:

Two cases of option valuation will be discussed with emphasis on the practical challenges and constraints faced when trading in the energy markets. First, pricing a simple spread option with long tenor illustrates the shortcomings and challenges of using different pricing paradigms. Second, recent strong contango in the crude markets led to the widespread use of tankers as floating, moveable storage. This option on storage and transport to multiple delivery locations provides an interesting optimization problem, but in some ways is easier to tackle than the simpler spread option.

Bio:

A 17 year veteran of the energy markets, managing director Stinson Gibner leads the quantitative analytics group supporting the Houston, London, and Singapore offices of Citigroup Energy. Before assuming this role, he served as a director at Citadel Investment Group L.L.C., responsible for development of mathematical models used for valuation and risk management of energy related transactions, and for fundamental analysis of energy commodities. Prior to Citadel, Stinson worked with Vince Kaminski in the quantitative research group at Enron Corp.