Volatility Trading, m. CD-ROM
(Sprache: Englisch)
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...
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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.
Klappentext zu „Volatility Trading, m. CD-ROM “
Praise for VOLATILITY TRADING"Written by s mathematically literate trader, this concise guide is full of valuable insights -not just for volatility traders but for quantitative traders too. From Zakamouline's optimal delta-hedging approximation to Browne's optimal trade-sizing policy, there is much interesting technical material that is put to work to provide a framework for thinking clearly about practical problems such as: When should we hedge? Should we double up or cut or position? How much capital should we allocate to a trade in the first place? This book raises the discussion of quantitative trading to a new level and I strongly recommend it."--Jim Gatheral, author of The Volatility Surface: A Practitioner's Guide
"Euan Sinclair's Volatility Trading fills a neglected gap in financial literature on trading volatility with options and updates and expands on basic works with contemporary strategies, insights, and technical detail. Volatility Trading is uncommonly clear, examples are well chosen, and explanations are thorough without being tedious. Not since Allan J. Baird's Option Market Making has there been a work on volatility strategies as well written and practical. Sinclair's modern treatment is a tremendous resource for options market makers and clients alike as they inescapably take a view on volatility with each position. Volatility Trading is destined to become a classic and is highly recommended for students and practitioners alike."--James N. Ward, Head of High-Yield Investments, AXA Investment Managers Paris, and Professor of Finance, The American University of Paris
"I wish this book had been available when I started. I had to discover its contents the hard way. It nicely illustrates what successful plain vanilla option trading is all about: a sound quantitative approach coupled with a few robust principles. It also should help to dispel the myth surrounding volatility trading: that is an obscure and highly complex field
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of phynancial voodoo that only a gifted few have the ability to understand and master.--FDAXHunter, founding member of nuclearphynance.com
"Euan Sinclair provides a unique and valuable insight into the art and science of option trading. With clarity and purpose, he demonstrates how the successful option trader judiciously selects the appropriate quantitative tools for the job-neither too rudimentary nor too complex but just right for each stage of the trading process. I strongly recommend this book to volatility traders and all options who wish to see 'behind the curtain' of option pricing."--Carl Mason, Chief U.S. Equity Derivatives Strategist, Morgan Stanley
"Euan Sinclair provides a unique and valuable insight into the art and science of option trading. With clarity and purpose, he demonstrates how the successful option trader judiciously selects the appropriate quantitative tools for the job-neither too rudimentary nor too complex but just right for each stage of the trading process. I strongly recommend this book to volatility traders and all options who wish to see 'behind the curtain' of option pricing."--Carl Mason, Chief U.S. Equity Derivatives Strategist, Morgan Stanley
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Inhaltsverzeichnis zu „Volatility Trading, m. CD-ROM “
- Introduction- The Trading Process
Chapter 1. Option Pricing
- The Black Scholes Merton Model
- Summary
Chapter 2. Volatility Measurement and Forecasting
- Defining and Measuring Volatility
- Definition of Volatility
- Alternative Volatility Estimators
- Close to Close Estimator
- Parkinson Estimator
- Garman Klass Estimator
- Rogers Satchell Estimator
- Yang Zhang Estimator
- Using Higher Frequency Data
- Forecasting Volatility
- Maximum Likelihood Estimation
- Forecasting the Volatility Distribution
- Summary
Chapter 3. Implied Volatility Dynamics
- Volatility Level Dynamics
- Smile Dynamics
- Strengths
- Weaknesses
- Summary
Chapter 4. Hedging
- Ad-Hoc Hedging Methods
- Hedging at Regular Intervals
- Hedging to a Delta Band
- Hedging Based On Underlying Price Changes
- Utility Based Methods
- The Asymptotic Solution of Whalley and Wilmott
- The Double Asymptotic Method of Zakamouline
- Estimation of Transaction Costs
- Strengths
- Weaknesses
- Aggregation of Options on Different Underlyings
- Summary
Chapter 5. Hedged Option Positions
- Discrete Hedging and Path Dependency
- Volatility Dependency
- Summary
Chapter 6. Money Management
- Ad-Hoc Schemes
- The Kelly Criterion
- Good Points
- Bad Points
- Alternatives to the Kelly Criterion
- Trade Sizing in a Continuously Changing Setting
- A Simple Approximation
- Summary
Chapter 7. Trade Evaluation
- General Planning Procedures
- Risk Adjusted Performance Measures
- The Sharpe Ratio
- Alternatives to the Sharpe Ratio
- Setting Goals
- Persistence of Performance
- Relative Persistence
- Absolute Persistence
- Summary
Chapter 8. Psychology
- Self Attribution Bias
- Overconfidence
- The Availability Heuristic
- Short Term Thinking
- Loss Aversion
- Conservatism and Representativeness
- Confirmation Bias
- Hindsight Bias
- Anchoring and Adjustment
- Summary
Chapter 9. Lifecycle of a Trade
- Pre-Trade Analysis
- June 25th
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2007
- June 26th 2007
- June 27th 2007
- June 28th 2007
- June 29th 2007
- July 2nd 2007
- July 3rd 2007
- Post-Trade Analysis
Chapter 10. Conclusion
- Execution Ability
- Concentration
- Product Selection
- Appendix A. Model Free Implied Variance and Volatility
- The VIX Index
- Appendix B. Spreadsheet Instructions
- Garch
- Volatility Cones and Skew and Kurtosis Cones
- Daily Option Hedging Simulation
- Trade Evaluation
- Trading Goals
- Corrado Su Skew Curve
- Mean Reversion Simulator
- Reader Resources
- Essential Books
- Thought Provoking Books
- Useful Websites
- References
- About the CD-ROM
- Index
- June 26th 2007
- June 27th 2007
- June 28th 2007
- June 29th 2007
- July 2nd 2007
- July 3rd 2007
- Post-Trade Analysis
Chapter 10. Conclusion
- Execution Ability
- Concentration
- Product Selection
- Appendix A. Model Free Implied Variance and Volatility
- The VIX Index
- Appendix B. Spreadsheet Instructions
- Garch
- Volatility Cones and Skew and Kurtosis Cones
- Daily Option Hedging Simulation
- Trade Evaluation
- Trading Goals
- Corrado Su Skew Curve
- Mean Reversion Simulator
- Reader Resources
- Essential Books
- Thought Provoking Books
- Useful Websites
- References
- About the CD-ROM
- Index
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Autoren-Porträt von Euan Sinclair
Euan Sinclair is an option trader with over ten years of experience trading options professionally. He specializes in the design and implementation of quantitative trading strategies. Sinclair is currently a proprietary option trader for Bluefin Trading, where he trades based on quantitative models of his own design. He holds a PhD in theoretical physics from the University of Bristol.
Bibliographische Angaben
- Autor: Euan Sinclair
- 2008, 1. Auflage, 224 Seiten, Maße: 15,6 x 2,4 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470181990
- ISBN-13: 9780470181997
- Erscheinungsdatum: 18.07.2008
Sprache:
Englisch
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