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Volatility Trading : + Website.
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. With an accessible, straightforward approach, he guides...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York :
Wiley,
2013.
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| Edición: | 2nd ed. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Title Page; Copyright; Contents; Acknowledgments; Introduction to the Second Edition; About This Book; The Trading Process; Chapter 1 Option Pricing; The Black-Scholes-Merton Model; Modeling Assumptions; Existence of a Tradable Underlying; Absence of Dividends or Storage Costs; Ability to Short the Underlying; The Existence of a Single Constant Interest Rate; Absence of Taxes; The Underlying Can Be Traded in Any Size; It Is Costless to Trade the Underlying; Volatility Is Constant; Assumptions about the Distribution of Returns; Conclusion; Summary; Chapter 2 Volatility Measurement.
- Defining and Measuring VolatilityDefinition of Volatility; Alternative Volatility Estimators; Using Higher-Frequency Data; Summary; Chapter 3 Stylized Facts about Returns and Volatility; Definition of a Stylized Fact; Volatility Is Not Constant; Characteristics of the Return Distribution; Volume and Volatility; Distribution of Volatility; Summary; Chapter 4 Volatility Forecasting; Absence of Transaction Costs; Perfect Information Flow; Agreement about the Price Implications of Information; Maximum Likelihood Estimation; Volatility Forecasting Using Fundamental Information.
- The Variance PremiumSummary; Chapter 5 Implied Volatility Dynamics; Volatility Level Dynamics; The Smile and the Underlying; Sticky Strike; Sticky Delta; Smile Dynamics; Term Structure Dynamics; Summary; Chapter 6 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; Aggregation of Options on Different Underlyings; Summary.
- Chapter 7 Distribution of Hedged Option PositionsDiscrete Hedging and Path Dependency; Volatility Dependency; Summary; Chapter 8 Money Management; Ad Hoc Sizing Schemes; The Kelly Criterion; Time for Kelly to Dominate; Effect of Parameter Mis-Estimation; What is Bankroll; Alternatives to Kelly; Summary; Chapter 9 Trade Evaluation; General Planning Procedures; Risk-Adjusted Performance Measures; The Sharpe Ratio; Alternatives to the Sharpe Ratio; Conclusions; Setting Goals; Persistence of Performance; Relative Persistence; Absolute Persistence; Higher Level Evaluation; Summary.
- Chapter 10 PsychologySelf-Attribution Bias; Overconfidence; The Availability Heuristic; Short-Term Thinking; Loss Aversion; Conservatism and Representativeness; Confirmation Bias; Hindsight Bias; Anchoring and Adjustment; The Narrative Fallacy; Prospect Theory; Summary; Chapter 11 Generating Returns through Volatility; The Variance Premium; Correlation Premium; Skewness Premium; Reasons for the Variance Premium; Summary; Chapter 12 The VIX; The VIX Index; VIX Futures; VIX Basis as a Predictor of the Futures; Volatility ETNs; Other VIX Trades; Summary; Chapter 13 Leveraged ETFs.