A Tale of Two Options

Event Details
  • Date/Time:
    • Tuesday November 3, 2009 - Wednesday November 4, 2009
      10:00 am - 10:59 am
  • Location: IC 209
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Shi-Jie Deng
Industrial and Systems Engineering
Contact Shi-Jie Deng

Summary Sentence: A Tale of Two Options

Full Summary: A Tale of Two Options

TITLE: A Tale of Two Options

SPEAKER: Stinson Gibner


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.


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.

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In Campus Calendar

School of Industrial and Systems Engineering (ISYE)

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  • Created By: Anita Race
  • Workflow Status: Draft
  • Created On: Feb 16, 2010 - 9:48am
  • Last Updated: Oct 7, 2016 - 9:50pm