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Listed Volatility And Variance Derivatives

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Listed Volatility And Variance Derivatives

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Author : Yves Hilpisch
language : en
Publisher: John Wiley & Sons
Release Date : 2016-11-10

Listed Volatility And Variance Derivatives written by Yves Hilpisch 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 2016-11-10 with Business & Economics categories.

Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives. Learn how to use Python for data and financial analysis, and reproduce stylised facts on volatility and variance markets Gain an understanding of the fundamental techniques of modelling volatility and variance and the model-free replication of variance Familiarise yourself with micro structure elements of the markets for listed volatility and variance derivatives Reproduce all results and graphics with IPython/Jupyter Notebooks and Python codes that accompany the book Listed Volatility and Variance Derivatives is the complete guide to Python-based quantitative analysis of these Eurex derivatives products.

Listed Volatility And Variance Derivatives

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Author : Jesus Perez
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2017-09-21

Listed Volatility And Variance Derivatives written by Jesus Perez and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-21 with categories.

Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex and the first to offer Python code for implementing comprehensive quantitative analyses of these financial products. For those who want to get started right away, the book is accompanied by a dedicated Web page and a Github repository that includes all the code from the book for easy replication and use, as well as a hosted version of all the code for immediate execution. Python is fast making inroads into financial modelling and derivatives analytics, and recent developments allow Python to be as fast as pure C++ or C while consisting generally of only 10% of the code lines associated with the compiled languages. This complete guide offers rare insight into the use of Python to undertake complex quantitative analyses of listed volatility and variance derivatives.

Pricing Models Of Volatility Products And Exotic Variance Derivatives

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Author : Yue Kuen Kwok
language : en
Publisher: CRC Press
Release Date : 2022-05-08

Pricing Models Of Volatility Products And Exotic Variance Derivatives written by Yue Kuen Kwok and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-08 with Mathematics categories.

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives

Listed Volatility And Variance Derivatives

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Author : Yves Hilpisch
language : en
Publisher: John Wiley & Sons
Release Date : 2016-12-27

Volatility Of Volatility Perspectives

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Author : Gabriel G. Drimus
language : en
Publisher:
Release Date : 2011

Volatility Of Volatility Perspectives written by Gabriel G. Drimus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

A General Framework For Discretely Sampled Realized Variance Derivatives In Stochastic Volatility Models With Jumps

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Author : Zhenyu Cui
language : en
Publisher:
Release Date : 2018

A General Framework For Discretely Sampled Realized Variance Derivatives In Stochastic Volatility Models With Jumps written by Zhenyu Cui 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.

After the recent financial crisis, the market for volatility derivatives has expanded rapidly to meet the demand from investors, risk managers and speculators seeking diversification of the volatility risk. In this paper, we develop a novel and efficient transform-based method to price swaps and options related to discretely-sampled realized variance under a general class of stochastic volatility models with jumps. We utilize frame duality and density projection method combined with a novel continuous-time Markov chain (CTMC) weak approximation scheme of the underlying variance process. Contracts considered include discrete variance swaps, discrete variance options, and discrete volatility options. Models considered include several popular stochastic volatility models with a general jump size distribution: Heston, Scott, Hull-White, Stein-Stein, alpha-Hypergeometric, 3/2 and 4/2 models. Our framework encompasses and extends the current literature on discretely sampled volatility derivatives, and provides highly efficient and accurate valuation methods. Numerical experiments confirm our findings.

The Volatility Surface

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Author : Jim Gatheral
language : en
Publisher: John Wiley & Sons
Release Date : 2011-03-10

The Volatility Surface written by Jim Gatheral 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 2011-03-10 with Business & Economics categories.

Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

Advanced Equity Derivatives

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Author : Sebastien Bossu
language : en
Publisher: John Wiley & Sons
Release Date : 2014-05-19

Advanced Equity Derivatives written by Sebastien Bossu 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 2014-05-19 with Business & Economics categories.

In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

Volatility Derivatives In Practice

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Author : Scott Mixon
language : en
Publisher:
Release Date : 2015

Volatility Derivatives In Practice written by Scott Mixon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

We use unique regulatory data to examine open positions and activity in both listed and OTC volatility derivatives. Gross vega notional outstanding for index variance swaps is over USD 2 billion, with dealers short vega in order to supply the long vega demand of asset managers. For maturities less than one year, VIX futures are far more actively traded and have a higher notional amount outstanding than S&P 500 variance swaps. To the extent that dealers take on risk when facilitating trades, we estimate that the long volatility bias of asset managers puts upward pressure on VIX futures prices. Hedge funds have offset this potential impact by actively taking a net short position in nearby contracts. In our 2011-2014 sample, the net impact added less than half a volatility point, on average, to nearby VIX futures contracts but added between one and two volatility points for contracts in less liquid, longer-dated parts of the curve. We find no evidence that this price impact forces VIX futures outside no-arbitrage bounds.

Derivatives Analytics With Python

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Author : Yves Hilpisch
language : en
Publisher: John Wiley & Sons
Release Date : 2015-08-03

Derivatives Analytics With Python written by Yves Hilpisch 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 2015-08-03 with Business & Economics categories.

Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how to apply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented. Coverage includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging, with models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website features all code and IPython Notebooks for immediate execution and automation. Python is gaining ground in the derivatives analytics space, allowing institutions to quickly and efficiently deliver portfolio, trading, and risk management results. This book is the finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics. Reproduce major stylized facts of equity and options markets yourself Apply Fourier transform techniques and advanced Monte Carlo pricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamically hedge options Recent developments in the Python ecosystem enable analysts to implement analytics tasks as performing as with C or C++, but using only about one-tenth of the code or even less. Derivatives Analytics with Python — Data Analysis, Models, Simulation, Calibration and Hedging shows you what you need to know to supercharge your derivatives and risk analytics efforts.

Listed Volatility And Variance Derivatives

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