Inside Volatility Arbitrage
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Inside Volatility Arbitrage
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Author : Alireza Javaheri
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
Inside Volatility Arbitrage written by Alireza Javaheri and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
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.
Inside Volatility Filtering
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Author : Alireza Javaheri
language : en
Publisher: John Wiley & Sons
Release Date : 2015-07-27
Inside Volatility Filtering written by Alireza Javaheri and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-27 with Business & Economics categories.
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.
Volatility Arbitrage As A Hedge Fund Strategy
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Author : Michael Huber
language : en
Publisher:
Release Date : 2007
Volatility Arbitrage As A Hedge Fund Strategy written by Michael Huber and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
I empirically investigate whether variance risk is priced in options on the Swiss Market Index (SMI) and individual stock options on SMI constituent stocks. Based on a model-free implied variance estimator derived by Britten-Jones and Neuberger (2000), I obtain variance risk premium estimates for the SMI and all individual stocks included in the index. I find evidence for a negative variance risk premium priced in SMI options. I do not find that variance risk is priced in individual stock options. I then decompose total index variance into individual variance risk and correlation risk. Based on this decomposition, I find evidence for a large and negative correlation risk premium. I do not find that variance risk other than correlation risk is priced in option prices. Priced correlation therefore potentially offers a risk-based explanation for the differential pricing of index options versus individual stock options.
International Volatility Arbitrage
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Author : Adriano Tosi
language : en
Publisher:
Release Date : 2018
International Volatility Arbitrage written by Adriano Tosi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Are options on exchange-traded products (ETPs) and indexes consistently priced internationally? The cross-section of international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP options and buying their corresponding index options commands a positive risk premium. Both empirical findings are economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These findings entail that alpha seekers may expand their horizon towards international derivatives which at first glance are similar, but institutionally are not.
Relative Implied Volatility Arbitrage With Index Options
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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2016
Relative Implied Volatility Arbitrage With Index Options written by Manuel Ammann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We investigate statistical arbitrage strategies for index options. To test the efficiency of markets in pricing relative implied volatilities in highly correlated markets, U.S. stock indices for which listed options are available are matched into pairs according to their degree of correlation. The interrelationship over time of the three most highly correlated and liquid index pairs is then analyzed. Based on this analysis, the relative implied volatility relationships are calculated. If such a relationship is violated, a relative mispricing is identified. We find that, although many theoretical mispricings can be observed, only a fraction of them are large enough to be used profitably in the presence of bid-ask spreads and transaction costs. A simple no-arbitrage barrier is thus used to identify significant mispricings and a statistical arbitrage trade is implemented every time such a mispricing was recorded, the trades being on average profitable after deduction of transaction costs.
Statistical Arbitrage
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Author : Andrew Pole
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-07
Statistical Arbitrage written by Andrew Pole and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-07-07 with Business & Economics categories.
While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
Volatility Arbitrage Indices A Primer
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Author : Keith Loggie
language : en
Publisher:
Release Date : 2009
Volatility Arbitrage Indices A Primer written by Keith Loggie and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Volatility arbitrage is morphing from a niche institutional strategy to mass market, index-linked products. Volatility arbitrage strategies attempt to take advantage of the difference between the implied volatility of an asset and its realized volatility. Variance swaps are ideally suited to capturing the difference between implied and realized volatility. Volatility arbitrage indices, such as the Samp;P 500 Volatility Arbitrage Index, measure the performance of a tradable short variance swap strategy that is long implied volatility and short realized volatility. Since 1990, the Samp;P 500 Volatility Arbitrage Index has outperformed the Samp;P 500 at an annualized rate of more than three percentage points while having one-third of benchmark volatility. It has never had a twelve-month negative return period.
Volatility Trading
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Author : Euan Sinclair
language : en
Publisher: John Wiley & Sons
Release Date : 2013-03-18
Volatility Trading written by Euan Sinclair and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-18 with Business & Economics categories.
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 traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in equity markets. Filled with volatility models including brand new option trades for quant traders Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.
Volatility Surface And Term Structure
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Author : Kin Keung Lai
language : en
Publisher: Routledge
Release Date : 2013-09-11
Volatility Surface And Term Structure written by Kin Keung Lai and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-11 with Business & Economics categories.
This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Option Trading
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Author : Euan Sinclair
language : en
Publisher: John Wiley & Sons
Release Date : 2010-07-16
Option Trading written by Euan Sinclair and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-16 with Business & Economics categories.
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.