Описание: Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. We consider three main classes namely short rate models, instantaneous forward rate models and market models.
Автор: Shiller, Robert J. Название: Market Volatility ISBN: 0262691515 ISBN-13(EAN): 9780262691512 Издательство: Random House (USA) Рейтинг: Цена: 5518.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets.
If you have experience in option trading, or a strong understanding of the options markets, but want to better understand how to trade given certain market conditions, this is the book for you. Mark Sebastian's new edition will teach trade evaluation, using Greeks, trading various spreads under different market conditions, portfolio-building, and risk management. Sebastian's approach will help traders understand how to find edge, what kind of trade under what conditions will capture edge, and how to create and successfully hedge. The book demonstrates how to structure a portfolio of trades that makes more money with less risk.
Table of Contents:
Foreword by Bill Luby
Part I: Professional Lessons Every Trader Needs to Know ?
Chapter 1: Trading in Options ?
Chapter 2: Risk Management ?
Chapter 3: Market Makers, Risk, and the Individual Trader ?
Chapter 4: Volatility ?
Chapter 5: What Is Edge? ?
Chapter 6: Locking in Edge ?
Part II: Using Spreads ?
Chapter 7: A Quick Review of Spreads ?
Chapter 8: Adding Edge to Spreads ?
Chapter 9: Butterflies and Condors ?
Chapter 10: The Front Spread ?
Chapter 11: Calendar Spreads ?
Chapter 12: Trading VIX
Chapter 13: Trading VIX ETP’s and ETF’s
Part III: Global Risk ?
Chapter 14: How a Market Maker Trades ?
Chapter 15: Portfolio Greeks ?
Chapter 16: Investing with Options/Stock Replacement
Chapter 17: Hedging and Crisis Alpha with Options ?
Описание: Russell Rhoads is one of America's leading experts on VIX, the Volatility Index. In The VIX Trader's Handbook he takes a deep dive into all things associated with volatility indexes and related trading vehicles. The handbook begins with an explanation of what VIX is, how it is calculated, and why it behaves the way it does in various market environments. It also explains the various methods of getting exposure to volatility through listed markets. The focus then moves on to demonstrate how traders take advantage of various scenarios using futures, options, or ETPs linked to the performance of VIX. Finally, a comprehensive review is presented of volatility events that shook the markets, including the 1987 crash, Great Financial Crisis, 2010 flash crash, and the 2020 pandemic. By understanding how VIX behaved leading up to these market shocks, and reacted afterwards, traders can better equip themselves ahead of future events. A wide variety of strategies that are implemented in both bearish and bullish equity markets are introduced and covered extensively throughout. The VIX Trader's Handbook is essential reading for all those who are intending to trade volatility--from those who wish to gain an understanding of how VIX and the related trading products behave, to those intending to hedge equity exposure or take advantage of the persistent overpricing of option volatility. You won't want to trade volatility without it.
Автор: Adam S. Iqbal Название: Volatility: Practical Options Theory ISBN: 111950161X ISBN-13(EAN): 9781119501619 Издательство: Wiley Рейтинг: Цена: 7920.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Gain a deep, intuitive and technical understanding of practical options theory
The main challenges in successful options trading are conceptual, not mathematical. Volatility: Practical Options Theory provides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the basic and advanced ideas in options theory to a level that facilitates practical options trading. The approach taken in this book will prove particularly valuable to options traders and other practitioners tasked with making pricing and risk management decisions in an environment where time constraints mean that simplicity and intuition are of greater value than mathematical formalism.
The most important areas of options theory, namely implied volatility, delta hedging, time value and the so-called options greeks are explored based on intuitive economic arguments alone before turning to formal models such as the seminal Black-Scholes-Merton model. The reader will understand how the model free approach and mathematical models are related to each other, their underlying theoretical assumptions and their implications to level that facilitates practical implementation.
There are several excellent mathematical descriptions of options theory, but few focus on a translational approach to convert the theory into practice. This book emphasizes the translational aspect, while first building an intuitive, technical understanding that allows market makers, portfolio managers, investment managers, risk managers, and other traders to work more effectively within--and beyond--the bounds of everyday practice.
Gain a deeper understanding of the assumptions underlying options theory
Translate theoretical ideas into practice
Develop a more accurate intuition for better time-constrained decision making
This book allows its readers to gain more than a superficial understanding of the mechanisms at work in options markets. Volatility gives its readers the edge by providing a true bedrock foundation upon which practical knowledge becomes stronger.
Автор: Bossu Sebastien Название: Advanced Equity Derivatives ISBN: 1118750969 ISBN-13(EAN): 9781118750964 Издательство: Wiley Рейтинг: Цена: 18216.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives.
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.
Автор: Stephen Satchell Название: Forecasting Volatility in the Financial Markets, ISBN: 075066942X ISBN-13(EAN): 9780750669429 Издательство: Elsevier Science Рейтинг: Цена: 13109.00 р. Наличие на складе: Нет в наличии.
Описание: Forecasting Volatility in the Financial Markets, Third Editionassumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey
Автор: Sinclair Название: Volatility Trading + CD-ROM ISBN: 0470181990 ISBN-13(EAN): 9780470181997 Издательство: Wiley Рейтинг: Цена: 9187.00 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.
Автор: Bergomi Название: Stochastic Volatility Modeling ISBN: 1482244063 ISBN-13(EAN): 9781482244069 Издательство: Taylor&Francis Рейтинг: Цена: 14239.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:
Which trading issues do we tackle with stochastic volatility?
How do we design models and assess their relevance?
How do we tell which models are usable and when does calibration make sense?
This manual covers the practicalities of modeling local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. In the course of this exploration, the author, Risk's 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Soci t G n rale's equity derivatives division. Clear and straightforward, the book takes readers through various modeling challenges, all originating in actual trading/hedging issues, with a focus on the practical consequences of modeling choices.
Автор: Shaista Arshad Название: Stock Markets in Islamic Countries ISBN: 3319478028 ISBN-13(EAN): 9783319478029 Издательство: Springer Рейтинг: Цена: 6707.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book explores the volatility, efficiency and integration of stock markets in Islamic countries.
Автор: Hilpisch Yves Название: Listed Volatility and Variance Derivatives ISBN: 1119167914 ISBN-13(EAN): 9781119167914 Издательство: Wiley Рейтинг: Цена: 9979.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products.
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