Volatility Trading

Inhaltsverzeichnis

Acknowledgments xi
 
Introduction to the Second Edition xiii
 
CHAPTER 1 Option Pricing 1
 
The Black-Scholes-Merton Model 1
 
Modeling Assumptions 7
 
Conclusion 11
 
Summary 11
 
CHAPTER 2 Volatility Measurement 13
 
Defining and Measuring Volatility 13
 
Definition of Volatility 14
 
Alternative Volatility Estimators 20
 
Using Higher-Frequency Data 29
 
Summary 33
 
CHAPTER 3 Stylized Facts about Returns and Volatility 35
 
Definition of a Stylized Fact 35
 
Volatility Is Not Constant 36
 
Characteristics of the Return Distribution 40
 
Volume and Volatility 43
 
Distribution of Volatility 45
 
Summary 46
 
CHAPTER 4 Volatility Forecasting 49
 
Absence of Transaction Costs 50
 
Perfect Information Flow 50
 
Agreement about the Price Implications of Information 50
 
Maximum Likelihood Estimation 54
 
Volatility Forecasting Using
 
Fundamental Information 60
 
The Variance Premium 62
 
Summary 65
 
CHAPTER 5 Implied Volatility Dynamics 67
 
Volatility Level Dynamics 70
 
The Smile and the Underlying 80
 
Smile Dynamics 82
 
Term Structure Dynamics 90
 
Summary 91
 
CHAPTER 6 Hedging 93
 
Ad Hoc Hedging Methods 95
 
Utility-Based Methods 96
 
Estimation of Transaction Costs 109
 

Aggregation of Options on Different Underlyings 113
 
Summary 115
 
CHAPTER 7 Distribution of Hedged Option Positions 117
 
Discrete Hedging and Path Dependency 117
 
Volatility Dependency 123
 
Summary 129
 
CHAPTER 8 Money Management 131
 
Ad Hoc Sizing Schemes 131
 
The Kelly Criterion 133
 
Time for Kelly to Dominate 143
 
Effect of Parameter Mis-Estimation 144
 
What is Bankroll? 146
 
Alternatives to Kelly 148
 
Summary 161
 
CHAPTER 9 Trade Evaluation 163
 
General Planning Procedures 164
 
Risk-Adjusted Performance Measures 171
 
Setting Goals 178
 
Persistence of Performance 180
 
Relative Persistence 180
 
Summary 184
 
CHAPTER 10 Psychology 187
 
Self-Attribution Bias 191
 
Overconfidence 193
 
The Availability Heuristic 197
 
Short-Term Thinking 199
 
Loss Aversion 199
 
Conservatism and Representativeness 201
 
Confirmation Bias 203
 
Hindsight Bias 206
 
Anchoring and Adjustment 207
 
The Narrative Fallacy 208
 
Prospect Theory 209
 
Summary 212
 
CHAPTER 11 Generating Returns through Volatility 213
 
The Variance Premium 214
 
Reasons for the Variance Premium 220
 
Summary 222
 
CHAPTER 12 The VIX 223
 
The VIX Index 224
 
VIX Futures 225
 
Volatility ETNs 227
 
Other VIX Trades 229
 
Summary 230
 
CHAPTER 13 Leveraged ETFs 231
 
Leveraged ETFs as a Trade-Sizing Problem 234
 
A Long-Short Trading Strategy 234
 
Options on Leveraged ETFs 235
 
Summary 237
 
CHAPTER 14 Life Cycle of a Trade 239
 
Pretrade Analysis 239
 
Posttrade Analysis 245
 

Summary 247
 
CHAPTER 15 Conclusion 249
 
Summary 252
 
Resources 253
 
Directly Applicable Books 253
 
Thought-Provoking Books 256
 
Useful Websites 257
 
References 261
 
About the Website 273
 
About the Aut

Volatility Trading

+ Website

Buch (Gebundene Ausgabe, Englisch)

65,99 €

inkl. gesetzl. MwSt.

Volatility Trading

Ebenfalls verfügbar als:

Gebundenes Buch

Gebundenes Buch

ab 65,99 €
eBook

eBook

ab 47,99 €

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

10.05.2013

Verlag

John Wiley & Sons

Seitenzahl

320

Maße (L/B/H)

23,6/15,6/3,8 cm

Beschreibung

Details

Einband

Gebundene Ausgabe

Erscheinungsdatum

10.05.2013

Verlag

John Wiley & Sons

Seitenzahl

320

Maße (L/B/H)

23,6/15,6/3,8 cm

Gewicht

516 g

Auflage

2. Auflage

Sprache

Englisch

ISBN

978-1-118-34713-3

Weitere Bände von Wiley Trading Series

Unsere Kundinnen und Kunden meinen

0.0

0 Bewertungen

Informationen zu Bewertungen

Zur Abgabe einer Bewertung ist eine Anmeldung im Konto notwendig. Die Authentizität der Bewertungen wird von uns nicht überprüft. Wir behalten uns vor, Bewertungstexte, die unseren Richtlinien widersprechen, entsprechend zu kürzen oder zu löschen.

Verfassen Sie die erste Bewertung zu diesem Artikel

Helfen Sie anderen Kund*innen durch Ihre Meinung

Erste Bewertung verfassen

Unsere Kundinnen und Kunden meinen

0.0

0 Bewertungen filtern

Die Leseprobe wird geladen.
  • Volatility Trading
  • Acknowledgments xi
     
    Introduction to the Second Edition xiii
     
    CHAPTER 1 Option Pricing 1
     
    The Black-Scholes-Merton Model 1
     
    Modeling Assumptions 7
     
    Conclusion 11
     
    Summary 11
     
    CHAPTER 2 Volatility Measurement 13
     
    Defining and Measuring Volatility 13
     
    Definition of Volatility 14
     
    Alternative Volatility Estimators 20
     
    Using Higher-Frequency Data 29
     
    Summary 33
     
    CHAPTER 3 Stylized Facts about Returns and Volatility 35
     
    Definition of a Stylized Fact 35
     
    Volatility Is Not Constant 36
     
    Characteristics of the Return Distribution 40
     
    Volume and Volatility 43
     
    Distribution of Volatility 45
     
    Summary 46
     
    CHAPTER 4 Volatility Forecasting 49
     
    Absence of Transaction Costs 50
     
    Perfect Information Flow 50
     
    Agreement about the Price Implications of Information 50
     
    Maximum Likelihood Estimation 54
     
    Volatility Forecasting Using
     
    Fundamental Information 60
     
    The Variance Premium 62
     
    Summary 65
     
    CHAPTER 5 Implied Volatility Dynamics 67
     
    Volatility Level Dynamics 70
     
    The Smile and the Underlying 80
     
    Smile Dynamics 82
     
    Term Structure Dynamics 90
     
    Summary 91
     
    CHAPTER 6 Hedging 93
     
    Ad Hoc Hedging Methods 95
     
    Utility-Based Methods 96
     
    Estimation of Transaction Costs 109
     

    Aggregation of Options on Different Underlyings 113
     
    Summary 115
     
    CHAPTER 7 Distribution of Hedged Option Positions 117
     
    Discrete Hedging and Path Dependency 117
     
    Volatility Dependency 123
     
    Summary 129
     
    CHAPTER 8 Money Management 131
     
    Ad Hoc Sizing Schemes 131
     
    The Kelly Criterion 133
     
    Time for Kelly to Dominate 143
     
    Effect of Parameter Mis-Estimation 144
     
    What is Bankroll? 146
     
    Alternatives to Kelly 148
     
    Summary 161
     
    CHAPTER 9 Trade Evaluation 163
     
    General Planning Procedures 164
     
    Risk-Adjusted Performance Measures 171
     
    Setting Goals 178
     
    Persistence of Performance 180
     
    Relative Persistence 180
     
    Summary 184
     
    CHAPTER 10 Psychology 187
     
    Self-Attribution Bias 191
     
    Overconfidence 193
     
    The Availability Heuristic 197
     
    Short-Term Thinking 199
     
    Loss Aversion 199
     
    Conservatism and Representativeness 201
     
    Confirmation Bias 203
     
    Hindsight Bias 206
     
    Anchoring and Adjustment 207
     
    The Narrative Fallacy 208
     
    Prospect Theory 209
     
    Summary 212
     
    CHAPTER 11 Generating Returns through Volatility 213
     
    The Variance Premium 214
     
    Reasons for the Variance Premium 220
     
    Summary 222
     
    CHAPTER 12 The VIX 223
     
    The VIX Index 224
     
    VIX Futures 225
     
    Volatility ETNs 227
     
    Other VIX Trades 229
     
    Summary 230
     
    CHAPTER 13 Leveraged ETFs 231
     
    Leveraged ETFs as a Trade-Sizing Problem 234
     
    A Long-Short Trading Strategy 234
     
    Options on Leveraged ETFs 235
     
    Summary 237
     
    CHAPTER 14 Life Cycle of a Trade 239
     
    Pretrade Analysis 239
     
    Posttrade Analysis 245
     

    Summary 247
     
    CHAPTER 15 Conclusion 249
     
    Summary 252
     
    Resources 253
     
    Directly Applicable Books 253
     
    Thought-Provoking Books 256
     
    Useful Websites 257
     
    References 261
     
    About the Website 273
     
    About the Aut