International Volatility Arbitrage
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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.
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.
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.
Relative Implied Volatility Arbitrage With Index Options
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Author : Manuel Ammann
language : en
Publisher:
Release Date : 2001
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 2001 with categories.
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.
Idiosyncratic Volatility Arbitrage Risk And Anomoly Returns
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Author : Lucy L. Jin
language : en
Publisher:
Release Date : 2013
Idiosyncratic Volatility Arbitrage Risk And Anomoly Returns written by Lucy L. Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Idiosyncratic Volatility Arbitrage Risk And Anomaly Returns
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Author : Lucy L. Jin
language : en
Publisher:
Release Date : 2013
Idiosyncratic Volatility Arbitrage Risk And Anomaly Returns written by Lucy L. Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
International Financial Management
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Author : V. S. Somanath
language : en
Publisher: I. K. International Pvt Ltd
Release Date : 2011-02
International Financial Management written by V. S. Somanath and has been published by I. K. International Pvt Ltd this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02 with Business & Economics categories.
This book covers the broad spectrum of the theory and practise of International Financial Management. The dominant approach to the development of India since opening up of its economy in the beginning of nineties has been the increasing acceptance of its
International Strategy
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Author : David Collis
language : en
Publisher: John Wiley & Sons
Release Date : 2014-07-24
International Strategy written by David Collis 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 2014-07-24 with Business & Economics categories.
THE COMPREHENSIVE GUIDE TO MANAGING AND LEADING COMPANIES THAT COMPETE INTERNATIONALLY Drawing on the course material developed at the Harvard Business School and Yale School of Management by David Collis, International Strategy provides theoretical insight and pragmatic tools that address the decisions facing senior managers in multinational corporations. International Strategy explores the critical differences between domestic and international competition: the heterogeneity of markets in which companies are involved; the volatility of economic conditions that firms face; and the increased scale of activities fostered by global participation. The text examines how these phenomena create tensions and tradeoffs for executives concerning which product to offer around the world, which countries to compete in, where to locate various activities, and how to organize the firm worldwide. Making those choices in an integrated fashion, it is explained, requires pursuit of a coherent strategy that builds an international advantage. Filled with illustrative examples from a wide range of international companies, International Strategy, offers an accessible guide to help managers navigate the myriad decisions they must make in order to create value from their foreign operations and outperform competitors in an increasingly integrated world.
Food Price Volatility And Its Implications For Food Security And Policy
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Author : Matthias Kalkuhl
language : en
Publisher: Springer
Release Date : 2016-04-12
Food Price Volatility And Its Implications For Food Security And Policy written by Matthias Kalkuhl and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-12 with Business & Economics categories.
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.