Analysing Intraday Implied Volatility For Pricing Currency Options

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Analysing Intraday Implied Volatility for Pricing Currency Options

Author : Thi Le
Publisher :
ISBN 13 : 9783030712433
Total Pages : 0 pages
Book Rating : 4.7/5 (124 download)

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Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Analysing Intraday Implied Volatility for Pricing Currency Options

Author : Thi Ngoc Quynh Le
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (118 download)

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Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Ngoc Quynh Le

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Ngoc Quynh Le and published by . This book was released on 2020 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options

Author : Christian Pierdzioch
Publisher : Springer Science & Business Media
ISBN 13 : 9783540427452
Total Pages : 232 pages
Book Rating : 4.4/5 (274 download)

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Book Synopsis Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options by : Christian Pierdzioch

Download or read book Noise Trading, Central Bank Interventions, and the Informational Content of Foreign Currency Options written by Christian Pierdzioch and published by Springer Science & Business Media. This book was released on 2001-12-06 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.

An Analysis of the Implied Volatility Matrix for the Philadelphia Currency Options Market

Author : Xinzhong Xu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (598 download)

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Book Synopsis An Analysis of the Implied Volatility Matrix for the Philadelphia Currency Options Market by : Xinzhong Xu

Download or read book An Analysis of the Implied Volatility Matrix for the Philadelphia Currency Options Market written by Xinzhong Xu and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Analysing Intraday Implied Volatility for Pricing Currency Options

Author : Thi Le
Publisher : Springer Nature
ISBN 13 : 3030712427
Total Pages : 350 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Analysing Intraday Implied Volatility for Pricing Currency Options by : Thi Le

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Foreign Currency Option Pricing and Properties of Ex-ante Exchange Rate Variability Changes

Author : Fatih Akin
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Foreign Currency Option Pricing and Properties of Ex-ante Exchange Rate Variability Changes by : Fatih Akin

Download or read book Foreign Currency Option Pricing and Properties of Ex-ante Exchange Rate Variability Changes written by Fatih Akin and published by . This book was released on 1992 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Foreign Currency Options

Author : Robin G. Brown
Publisher : London ; Toronto : Butterworths
ISBN 13 :
Total Pages : 220 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Foreign Currency Options by : Robin G. Brown

Download or read book Foreign Currency Options written by Robin G. Brown and published by London ; Toronto : Butterworths. This book was released on 1989 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Volatility

Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Volatility by : Robert A. Jarrow

Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

The Quality of Volatility Traded on the Over-the-Counter Currency Market

Author : Vicentiu Covrig
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Quality of Volatility Traded on the Over-the-Counter Currency Market by : Vicentiu Covrig

Download or read book The Quality of Volatility Traded on the Over-the-Counter Currency Market written by Vicentiu Covrig and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies of the quality of market forecasted future volatility in currency options use implied volatilities from exchange-traded currency options markets, and find that though implied volatility has substantial informational content, it is a biased predictor of future volatility. However, such empirical results are likely to be affected by two sources of well-documented errors: measurement errors in model inputs and errors in the option pricing model that is used for computation.This paper focuses on the former source of errors, and differs from previous studies in that it uses quoted implied volatility data from the OTC currency option market. The institutional features of the OTC market alleviate the measurement problems that are found in studies which use implied volatility that is derived from exchange-traded option prices. Unlike exchange traded currency option markets, in which market players quote option prices in terms of option premiums, in the OTC currency option market the price quotes are actually made in terms of volatility, which is expressed as a percentage per annum. Furthermore, the OTC currency options have daily quotes for standard maturities, allowing us to study the market's ability to forecast future volatility for different time horizons.The evidence shows that quoted implied volatility is an unbiased estimator of future volatility at the one-month horizon, but its predictive power decreases with longer horizons. The results are consistent with the Figlewski (1997) hypothesis that the informational content of quoted implied volatility is positively related to liquidity. The results also indicate that the quoted implied volatility has more predictive power than the historical standard deviation, RiskMetrics, and GARCH-based volatility forecasts across all of the currency pairs and forecasting horizons.These results are consistent with the argument that measurement errors have a substantial effect on the implied volatility estimator and the quality of the inferences that are based on it.

Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options

Author : Andreas Rathgeber
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options by : Andreas Rathgeber

Download or read book Determinants of Implied Volatility Smiles - An Empirical Analysis Using Intraday DAX Equity Options written by Andreas Rathgeber and published by . This book was released on 2018 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade-by-trade DAX equity options from the EUREX a mean-reversion autocorrelation process is revealed, besides confirming low frequency results such as moneyness, time, liquidity, volume and underlying moment dependencies. Furthermore, we show, that the mean-reversion process is present, even if we control for fluctuating trades between bid and ask prices. It is induced by algorithmic market making and market microstructure effects. We address the HF research gap in market microstructure literature expressed by O'Hara (2015), who argues that markets and trading is radically different today, which consequently altered the basic constructs of market microstructure, and we give additional explanation for the flickering quote hypothesis of Hasbrouck and Saar (2009).

Essays in Foreign Currency Options Markets

Author : Mohammed Ariful Hoque
Publisher :
ISBN 13 :
Total Pages : 498 pages
Book Rating : 4.:/5 (34 download)

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Book Synopsis Essays in Foreign Currency Options Markets by : Mohammed Ariful Hoque

Download or read book Essays in Foreign Currency Options Markets written by Mohammed Ariful Hoque and published by . This book was released on 2008 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: For currency options pricing, this study examines the performance of implied volatility model (IVM) and GARCH (1,1)-based volatility model (GVM) for daily data, and realized volatility model (RVM) for intra-day data. The IVM and GVM provide mixed results for in-sample tests. The out-of-sample results indicate that IVM tends to outperform GVM in forecasting options prices. The results also indicate that RVM outperforms IVM and GVM for pricing options with higher accuracy by capturing exchange rate return behaviour for both in-sample and out-of sample. This implies that intra-daily level volatility model RVM contains adequate information which cannot be accommodated by the standard daily level volatility model IVM and GVM for pricing options. Thus using RVM is a novel approach for pricing currency options, and may add a new dimension to the options valuation technique. The last segment of this research is an innovation in options literature. In this segment, a general optimization framework is proposed to forecast options prices by exploiting their price volatility history, rather than the volatility of the underlying currencies. Thus, in this framework, spot and options markets are treated as separate entities. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framework. The forecast performance of this framework is compared with the forecast performance of the Multiplicative Error Model (MEM) of implied volatility and the GARCH (1,1). The results indicate that the proposed framework is capable of producing reasonably accurate forecasts for put and call prices.

Handbook of Economic Forecasting

Author : Graham Elliott
Publisher : Elsevier
ISBN 13 : 0444627405
Total Pages : 667 pages
Book Rating : 4.4/5 (446 download)

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Book Synopsis Handbook of Economic Forecasting by : Graham Elliott

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Volatility Trading, + website

Author : Euan Sinclair
Publisher : John Wiley & Sons
ISBN 13 : 0470181990
Total Pages : 228 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Volatility Trading, + website by : Euan Sinclair

Download or read book Volatility Trading, + website written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2008-06-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 edge. 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.

Trading Volatility

Author : Colin Bennett
Publisher :
ISBN 13 : 9781461108757
Total Pages : 316 pages
Book Rating : 4.1/5 (87 download)

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Book Synopsis Trading Volatility by : Colin Bennett

Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council

The Volatility Surface

Author : Jim Gatheral
Publisher :
ISBN 13 : 9781119202073
Total Pages : 179 pages
Book Rating : 4.2/5 (2 download)

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Book Synopsis The Volatility Surface by : Jim Gatheral

Download or read book The Volatility Surface written by Jim Gatheral and published by . This book was released on 2006 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:

FX Derivatives Trader School

Author : Giles Jewitt
Publisher : John Wiley & Sons
ISBN 13 : 1118967453
Total Pages : 629 pages
Book Rating : 4.1/5 (189 download)

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Book Synopsis FX Derivatives Trader School by : Giles Jewitt

Download or read book FX Derivatives Trader School written by Giles Jewitt and published by John Wiley & Sons. This book was released on 2015-06-29 with total page 629 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to real-world derivatives trading FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics. The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills. The book covers of a wide variety of topics, including: Derivative exposures within risk management Volatility surface construction Implied volatility and correlation risk Practical tips for students on trading internships and junior traders Market analysis techniques FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.

FX Option Performance

Author : Jessica James
Publisher : John Wiley & Sons
ISBN 13 : 1118793269
Total Pages : 264 pages
Book Rating : 4.1/5 (187 download)

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Book Synopsis FX Option Performance by : Jessica James

Download or read book FX Option Performance written by Jessica James and published by John Wiley & Sons. This book was released on 2015-04-21 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific guidance. This book is a unique and practical guide to option trading, with the courage to report how much these contracts have really made or lost. Breaking free from the typical focus on theories and generalities, this book gets specific – travelling back in history to show exactly how options performed in different markets and thereby helping investors and hedgers alike make more informed decisions. Not overly technical, the rigorous approach remains accessible to anyone with an interest in the area, showing investors where to look for value and helping corporations hedge their FX exposures. FX Option Performance begins with a quick and practical introduction to the FX option market, then provides specific advice toward structures, performance, rate fluctuation, and trading strategies. Examine the historical payoffs to the most popular and liquidly traded options Learn which options are overvalued and which are undervalued Discover surprising, generally unpublished facts about emerging markets Examine systemic option trading strategies to find what works and what doesn't On average, do options result in profit, loss, or breaking even? How can corporations more cost-effectively hedge their exposure to emerging markets? Are cheap out-of-the-money options worth it?