I'm Théophile, from Paris. Quantitative researcher focused on energy commodities trading and mathematical finance.

Systematic statistical arbitrage on energy spreads.

• Crack and spark spread strategies
• Hedge ratio estimation — constant OLS, rolling OLS, Kalman filter, Kalman filter with velocity component
• Copula-based conditional probabilities and z-score entry signals
• Walk-forward backtest with slippage, transaction costs, drawdown, and downside risk analysis

Check it out → sarcasticmatrix.github.io/spreadpy

A Python library for options pricing and hedging.

• Options pricing — Heston and Bates models
• Hedging strategies — delta and delta-vega
• Calibration on implied volatility smiles

Check it out → sarcasticmatrix.github.io/hestonpy

Quantitative Research & Machine Learning in Energy Trading:

• Energy commodities — Power, Natural Gas, Oil
• Option theory and volatility modelling
• Systematic trading strategies

Quantitative Finance & Markets

• The Volatility Surface — J. Gatheral
• Algorithmic and High-Frequency Trading — A. Cartea
• Stochastic Modelling of Electricity and Related Markets — F. E. Benth

Portfolio Management & Optimization

• Portfolio Optimization: Theory and Application — D. P. Palomar

Financial Mathematics & Stochastic Control

• Continuous-time Stochastic Control and Optimization with Financial Applications — H. Pham
• Arbitrage Theory in Continuous Time — T. Björk