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Inside Volatility Arbitrage
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Book Synopsis Inside Volatility Arbitrage by : Alireza Javaheri
Download or read book Inside Volatility Arbitrage written by Alireza Javaheri and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 volatility -- time series and financial econometrics -- in 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.
Book Synopsis An Arbitrage Guide to Financial Markets by : Robert Dubil
Download or read book An Arbitrage Guide to Financial Markets written by Robert Dubil and published by John Wiley & Sons. This book was released on 2005-04-08 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Arbitrage Guide to Financial Markets is the first book to explicitly show the linkages of markets for equities, currencies, fixed income and commodities. Using a unique structural approach, it dissects all markets the same way: into spot, forward and contingent dimensions, bringing out the simplicity and the commonalities of all markets. The book shuns stochastic calculus in favor of cash flow details of arbitrage trades. All math is simple, but there is lots of it. The book reflects the relative value mentality of an institutional trader seeking profit from misalignments of various market segments. The book is aimed at entrants into investment banking and dealing businesses, existing personnel in non-trading jobs, and people outside of the financial services industry trying to gain a view into what drives dealers in today’s highly integrated marketplace. A committed reader is guaranteed to leave with a deep understanding of all current issues. "This is an excellent introduction to the financial markets by an author with a strong academic approach and practical insights from trading experience. At a time when the proliferation of financial instruments and the increased use of sophisticated mathematics in their analysis, makes an introduction to financial markets intimidating to most, this book is very useful. It provides an insight into the core concepts across markets and uses mathematics at an accessible level. It equips readers to understand the fundamentals of markets, valuation and trading. I would highly recommend it to anyone looking to understand the essentials of successfully trading, structuring or using the entire range of financial instruments available today." —Varun Gosain, Principal, Constellation Capital Management, New York "Robert Dubil, drawing from his extensive prior trading experience, has made a significant contribution by writing an easy to understand book about the complex world of today’s financial markets, using basic mathematical concepts. The book is filled with insights and real life examples about how traders approach the market and is required reading for anyone with an interest in understanding markets or a career in trading." —George Handjinicolaou, Partner, Etolian Capital, New York "This book provides an excellent guide to the current state of the financial markets. It combines academic rigour with the author’s practical experience of the financial sector, giving both students and practitioners an insight into the arbitrage pricing mechanism." —Zenji Nakamura, Managing Director, Europe Fixed Income Division, Nomura International plc, London
Book Synopsis Inside Volatility Filtering by : Alireza Javaheri
Download or read book Inside Volatility Filtering written by Alireza Javaheri and published by John Wiley & Sons. This book was released on 2015-07-27 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new, more accurate take on the classical approach to volatility evaluation Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of "filtering", this book lays out a two-step framework involving a Chapman-Kolmogorov prior distribution followed by Bayesian posterior distribution to develop a robust estimation based on all available information. This new second edition includes guidance toward basing estimations on historic option prices instead of stocks, as well as Wiener Chaos Expansions and other spectral approaches. The author's statistical trading strategy has been expanded with more in-depth discussion, and the companion website offers new topical insight, additional models, and extra charts that delve into the profitability of applied model calibration. You'll find a more precise approach to the classical time series and financial econometrics evaluation, with expert advice on turning data into profit. Financial markets do not always behave according to a normal bell curve. Skewness creates uncertainty and surprises, and tarnishes trading performance, but it's not going away. This book shows traders how to work with skewness: how to predict it, estimate its impact, and determine whether the data is presenting a warning to stay away or an opportunity for profit. Base volatility estimations on more accurate data Integrate past observation with Bayesian probability Exploit posterior distribution of the hidden state for optimal estimation Boost trade profitability by utilizing "skewness" opportunities Wall Street is constantly searching for volatility assessment methods that will make their models more accurate, but precise handling of skewness is the key to true accuracy. Inside Volatility Filtering shows you a better way to approach non-normal distributions for more accurate volatility estimation.
Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Book Synopsis Convertible Arbitrage by : Nick P. Calamos
Download or read book Convertible Arbitrage written by Nick P. Calamos and published by John Wiley & Sons. This book was released on 2011-01-19 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Minimize risk and maximize profits with convertible arbitrage Convertible arbitrage involves purchasing a portfolio of convertible securities-generally convertible bonds-and hedging a portion of the equity risk by selling short the underlying common stock. This increasingly popular strategy, which is especially useful during times of market volatility, allows individuals to increase their returns while decreasing their risks. Convertible Arbitrage offers a thorough explanation of this unique investment strategy. Filled with in-depth insights from an expert in the field, this comprehensive guide explores a wide range of convertible topics. Readers will be introduced to a variety of models for convertible analysis, "the Greeks," as well as the full range of hedges, including titled and leveraged hedges, as well as swaps, nontraditional hedges, and option hedging. They will also gain a firm understanding of alternative convertible structures, the use of foreign convertibles in hedging, risk management at the portfolio level, and trading and hedging risks. Convertible Arbitrage eliminates any confusion by clearly differentiating convertible arbitrage strategy from other hedging techniques such as long-short equity, merger and acquisition arbitrage, and fixed-income arbitrage. Nick Calamos (Naperville, IL) oversees research and portfolio management for Calamos Asset Management, Inc. Since 1983 his experience has centered on convertible securities investment. He received his undergraduate degree in economics from Southern Illinois University and an MS in finance from Northern Illinois University.
Book Synopsis Financial Engineering and Arbitrage in the Financial Markets by : Robert Dubil
Download or read book Financial Engineering and Arbitrage in the Financial Markets written by Robert Dubil and published by John Wiley & Sons. This book was released on 2011-10-13 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. It is this relative value arbitrage principle that drives all modern trading and investment. This book is an easy-to-understand guide to the complex world of today’s financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading. Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations.
Book Synopsis Making Money with statistical Arbitrage by : Jan Becker
Download or read book Making Money with statistical Arbitrage written by Jan Becker and published by GRIN Verlag. This book was released on 2012-06-01 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2010 in the subject Business economics - Investment and Finance, University of Frankfurt (Main), language: English, abstract: In the following bachelor’s thesis I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Especially statistical arbitrage is explained in further detail and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is so often used in daily option trading, derivate pricing and risk management. Because investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provide significant returns to the investment. As market efficiency hypothesis states the impossibility of arbitrage opportunities over the long run, on the other hand market anomalies significantly outstand. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-ofsample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.
Book Synopsis Macro Trading and Investment Strategies by : Gabriel Burstein
Download or read book Macro Trading and Investment Strategies written by Gabriel Burstein and published by John Wiley & Sons. This book was released on 1999-02-08 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macro Trading and Investment Strategies is the first thorough examination of one of the most proficient and enigmatic trading strategies in use today - global macro. More importantly, it introduces an innovative strategy to this popular hedge fund investment style - global macroeconomic arbitrage. In Macro Trading and Investment Strategies, Dr. Burstein presents, with examples, the framework for traditional global macro strategies, then shows how to use macroeconomic mispricings in global financial markets to design innovative global macroeconomic arbitrage strategies for trading and investing. Packed with revealing trading case studies, examples, explanations, and definitions, this comprehensive work covers: * Global directional macro, long/short macro, and macroeconomic arbitrage trading and investment strategies * Causes of macroeconomic mispricings in markets; tackling secondary macroeconomic variables in trades * The importance of technical timing in macro arbitrage * Volatility of macro arbitrage strategies versus volatility of relative-value strategies * Mispricing opportunities due to the effect of the Asian crisis on global markets * Macro arbitrage of the EMU convergence mispricing in equity markets * Mispricings of retail sales, GDP, industrial production, interest rates, and exchange rates in stock markets In-depth and timely, Macro Trading and Investment Strategies covers an area of intense interest to today's trading and investment community and shows new opportunities. It is invaluable reading for those seeking new ways to tackle today's volatile global markets. Gabriel Burstein (London, UK) heads Specialized Equity Sales & Trading at Daiwa Europe Limited, where he set up the department to sell European equity products to hedge funds.
Book Synopsis Rule Based Investing by : Chiente Hsu
Download or read book Rule Based Investing written by Chiente Hsu and published by Pearson Education. This book was released on 2014 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Use rule-based investment strategies to maintain trading and investment discipline, and protect yourself from fear, greed, pride, and other costly emotions! Since the mid-1990s, assets under management in rule-based or non-discretionary hedge funds have outgrown those in discretionary or qualitative funds. Recent research shows that rule-based funds have outperformed discretionary funds on a risk-adjusted basis over the past 30 years, and have especially outperformed during recent financial crises. This is the first comprehensive guide to designing and applying these sophisticated strategies. Combining academic rigor and practical applications, it explains what rule-based investment strategies are, how to construct them, and how to distinguish bad ones from good ones. Unlike any other guide, it systematically covers every facet of the topic, including Forex, rates, emerging markets, equity, volatility, and other key topics. Credit Suisse head of global strategy and modeling, Chiente Hsu, covers carry, momentum, seasonality, and value-based strategies; as well as the construction of portfolios of rule-based strategies that support diversification. Replete with realistic examples, this book will be a valuable resource for everyone concerned with effective investing, from traders to specialists in applied corporate finance.
Author :Ryszard Kokoszczynski Publisher :Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften ISBN 13 :9783631655764 Total Pages :0 pages Book Rating :4.6/5 (557 download)
Book Synopsis Volatility as an Asset Class by : Ryszard Kokoszczynski
Download or read book Volatility as an Asset Class written by Ryszard Kokoszczynski and published by Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften. This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility derivatives are today an important group of financial instruments. This book presents an overview of their major classes and their possible applications in investment strategies and portfolio optimization. Volatility is not constant so the book presents its term structure and its potential use in forecasting volatility.
Book Synopsis FX Options and Smile Risk by : Antonio Castagna
Download or read book FX Options and Smile Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2010-02-12 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.
Download or read book Option Trading written by Euan Sinclair and published by John Wiley & Sons. This book was released on 2010-07-16 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: An A to Z options trading guide for the new millennium and the new economy Written by professional trader and quantitative analyst Euan Sinclair, Option Trading is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques. This comprehensive guide presents the detail and practical information that professional option traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement and forecasting, and specific option strategies. Explains how to break down a typical position, and repair positions Other titles by Sinclair: Volatility Trading Addresses the various concerns of the professional options trader Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.
Book Synopsis Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models by : Andrey Itkin
Download or read book Fitting Local Volatility: Analytic And Numerical Approaches In Black-scholes And Local Variance Gamma Models written by Andrey Itkin and published by World Scientific. This book was released on 2020-01-22 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data.This book was written with the purpose of presenting new results previously developed in a series of papers and explaining them consistently, starting from the general concept of Dupire, Derman and Kani and then concentrating on various extensions proposed by the author and his co-authors. This volume collects all the results in one place, and provides some typical examples of the problems that can be efficiently solved using the proposed methods. This also results in a faster calibration of the local and implied volatility surfaces as compared to standard approaches.The methods and solutions presented in this volume are new and recently published, and are accompanied by various additional comments and considerations. Since from the mathematical point of view, the level of details is closer to the applied rather than to the abstract or pure theoretical mathematics, the book could also be recommended to graduate students with majors in computational or quantitative finance, financial engineering or even applied mathematics. In particular, the author used to teach some topics of this book as a part of his special course on computational finance at the Tandon School of Engineering, New York University.
Book Synopsis Pairs Trading by : Ganapathy Vidyamurthy
Download or read book Pairs Trading written by Ganapathy Vidyamurthy and published by John Wiley & Sons. This book was released on 2011-02-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
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
Book Synopsis Options Explained2 by : Robert Tompkins
Download or read book Options Explained2 written by Robert Tompkins and published by Springer. This book was released on 2016-07-27 with total page 603 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike most books on derivative products, Options Explained 2 is a practical guide, covering theoretical concepts only where they are essential to applying options on a wide variety of assets. Written with the emphasis on a practical, straightforward approach, Options Explained succeeds in demystifying what has traditionally been treated as a highly complex product. The second edition also includes over 100 pages of new material, with sections on exotic options, worldwide accounting practices and issues in volatility estimation.
