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Volatility : practical options theory /
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 techni...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
[2018]
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| Colección: | Wiley finance
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- Intro; Table of Contents; Preface; Acknowledgments; About the Author; CHAPTER 1: Volatility and Options; 1.1 WHAT IS AN OPTION?; 1.2 OPTIONS ARE BETS ON VOLATILITY; 1.3 OPTION PREMIUMS AND BREAKEVENS; 1.4 STRIKE CONVENTIONS; 1.5 WHAT IS VOLATILITY?; 1.6 TRADER'S SUMMARY; CHAPTER 2: Understanding Options Without a Model; 2.1 VANILLA OPTIONS; 2.2 MAKING ASSUMPTIONS; 2.3 UNDERSTANDING Vt WITH ECONOMIC ASSUMPTIONS; 2.4 DELTA AND DELTA HEDGING; 2.5 THE VALUE FUNCTION; 2.6 DEFINING DELTA; 2.7 UNDERSTANDING DELTA; 2.8 DELTA AS THE PROBABILITY OF AN IN-THE-MONEY EXPIRY
- 6.6 SETTING BASE VOLATILITY USING A THREE-PARAMETER GARCH MODEL6.7 VOLATILITY CARRY AND FORWARD VOLATILITY AGREEMENTS; 6.8 TRADER'S SUMMARY; CHAPTER 7: Vanna, Risk Reversal, and Skewness; 7.1 RISK REVERSAL; 7.2 SKEWNESS; 7.3 DELTA SPACE; 7.4 SMILE IN DELTA SPACE; 7.5 SMILE VEGA; 7.6 SMILE DELTA; 7.7 TRADER'S SUMMARY; CHAPTER 8: Volgamma, Butterfly, and Kurtosis; 8.1 THE BUTTERFLY STRATEGY; 8.2 VOLGAMMA AND BUTTERFLY; 8.3 KURTOSIS; 8.4 SMILE; 8.5 BUTTERFLIES AND SMILE VEGA; 8.6 TRADER'S SUMMARY; CHAPTER 9: Black-Scholes-Merton Model; 9.1 THE LOG-NORMAL DIFFUSION MODEL
- 9.2 THE BSM PARTIAL DIFFERENTIAL EQUATION (PDE)9.3 FEYNMAN-KAC; 9.4 RISK-NEUTRAL PROBABILITIES; 9.5 PROBABILITY OF EXCEEDING THE BREAKEVEN IN THE BSM MODEL; 9.6 TRADER'S SUMMARY; CHAPTER 10: The Black-Scholes Greeks; 10.1 SPOT DELTA, DUAL DELTA, AND FORWARD DELTA; 10.2 THETA; 10.3 GAMMA; 10.4 VEGA; 10.5 VANNA; 10.6 VOLGAMMA; 10.7 TRADER'S SUMMARY; CHAPTER 11: Predictability and Mean Reversion; 11.1 THE PAST AND THE FUTURE; 11.2 EMPIRICAL ANALYSIS; APPENDIX A: Probability; A.1 PROBABILITY DENSITY FUNCTIONS (PDFS); APPENDIX B: Calculus; Glossary; References; Index; End User License Agreement