Описание: Trading and hedging volatility an increasingly important topic in the wake of the 2008 financial crisis. Trading Volatility in Risky Markets will discuss how active traders can profit from the profusion of new volatility-based products and how money managers can smooth their returns by hedging volatility risk. Author Michael McCarty explains traditional and new measures of volatility; the structure and mechanics of new volatility tools; and how these tools can be used by different levels of market participants to invest, trade, and hedge more effectively. While the history of trading of volatility-based instruments is brief, McCarty combines the historic data with and analysis to provide a taxonomy of how volatility measures reflect market sentiment and directional bias. Most importantly, he provides an in-depth explanation of how VIX options, futures, exchange-traded notes so that participants will be better prepared to use these tools confidently and avoid unexpected outcomes.
Описание: A top options trader details a practical approach for pricing and trading options in any market condition The options market is always changing, and in order to keep up with it you need the greeks--delta, gamma, theta, vega, and rho--which are the best techniques for valuing options and executing trades regardless of market conditions.
Автор: Warner, Adam Название: Options volatility trading ISBN: 0071629653 ISBN-13(EAN): 9780071629652 Издательство: McGraw-Hill Рейтинг: Цена: 5148 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Research and floor-level knowledge of how volatile markets behave and how to best profit from them
Описание: Shover shows how to shape and optimize trades through practical option strategies that deliver both yield enhancement and downside protection. Light on math, the book instead emphasizes an understanding of the concepts to use options effectively. Using real-life examples and anecdotes from his experience as a trader and teacher, Shover fully engages readers in learning about options trading.
Автор: Fengler Matthias R. Название: Semiparametric Modeling of Implied Volatility ISBN: 3540262342 ISBN-13(EAN): 9783540262343 Издательство: Springer Рейтинг: Цена: 6269 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time.This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.
Описание: The majority of the time, most markets move sideways, with no discernible long-term up or down trend. The key to making money in these kinds of markets is to sell when the market is near the top of its range and buy when it`s near the bottom of its range. This book provides traders with different strategies to capitalize on market fluctuations.
Автор: Sinclair Название: Volatility Trading + CD-ROM ISBN: 0470181990 ISBN-13(EAN): 9780470181997 Издательство: Wiley Рейтинг: Цена: 7146 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: In "Volatility Trading", Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With
an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. In addition,
Sinclair explains the often-overlooked psychological aspects of trading, revealing both how behavioral psychology can create market conditions traders can take advantage of - and
how it can lead them astray.
Psychological biases, he asserts, are probably the drivers behind most sources of edge available to a volatility trader. Your goal, Sinclair explains,
must be clearly defined and easily expressed - if you cannot explain it in one sentence, you probably aren't completely clear about what it is. The same applies to your statistical
If you do not know exactly what your edge is, you shouldn't trade.He shows how, in addition to the numerical evaluation of a potential trade, you should be able to
identify and evaluate the reason why implied volatility is priced where it is, that is, why an edge exists. This means it is also necessary to be on top of recent news stories, sector trends,
and behavioral psychology. Finally, Sinclair underscores why trades need to be sized correctly, which means that each trade is evaluated according to its projected return and risk in the
overall context of your goals.
As the author concludes
while we also need to pay attention to seemingly mundane things like having good execution software, a comfortable office, and getting enough sleep, it is knowledge that is the
ultimate source of edge.So, all else being equal, the trader with the greater knowledge will be the more successful. This book, and its companion CD-ROM, will provide that knowledge.
The CD-ROM includes spreadsheets designed to help you forecast volatility and evaluate trades together with simulation engines.
Автор: Sinclair Euan Название: Volatility Trading ISBN: 1118347137 ISBN-13(EAN): 9781118347133 Издательство: Wiley Рейтинг: Цена: 6641 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Popular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors.
Описание: A leading expert unveils his unique methodology for options trading Options provide a high leverage approach to trading that can significantly limit the overall risk of a trade or provide additional income.
Описание: A groundbreaking new work on assessing volatility using financial econometrics to trade against "skewness" scenarios Today's traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatilitytime series and financial econometricsin a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable. ALEZA JAVAHERI, (New York, NY) PhD, CFA is an adjunct researcher in the finance and economics department of Ecole des Mines de Paris. He has worked in the financial industry for many years including in Citigroup, Lehman Brothers and Goldman Sachs. He has written numerous articles in various financial journals.
Описание: This book addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
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