Inside Volatility Arbitrage: The Secrets Of Skewness - Couverture rigide

Javaheri, Alireza

Couverture rigide

ISBN 10 : 0471733873 ISBN 13 : 9780471733874

Editeur : John Wiley & Sons Inc, 2005

Synopsis

Book by Javaheri Alireza

A propos du livre

Quatrième de couverture

Praise for INSIDE VOLATILITY ARBITRAGE

"I have been repeatedly asked by students, trainees, and even experienced traders where to learn about volatility surface and the dynamics of stochastic volatility. Until this book, I was at a loss for an answer. This is a wonderful book and a deep, thoughtful, and complete tool."
Nassim Nicholas Taleb, author of Fooled by Randomness

"To stay competitive you must have at your fingertips all of the latest and most advanced financial models and methods, otherwise you will be toast. With his book, Dr. Javaheri has raised the entry level for authors in this field, providing the most sophisticated, modern tools and techniques you will need to stay ahead of the game."
Paul Wilmott, founder, www.wilmott.com

"For an in–depth overview of stochastic volatility models, this book is a must–have for any quant, trader, academic, or student seriously interested in quantitative finance. Inside Volatility Arbitrage is loaded with useful, state–of–the–art information on stochastic volatility and calibration not found in any other book."
Espen Gaarder Haug, options trader, JPMorgan

"To paraphrase Mark Twain, there are three kinds of risks: volatility, volatility of volatility, and the standard error of volatility of volatility. This comprehensive volume applies these fundamental concepts in providing an inside peek into the fascinating world of volatility trading and other sophisticated strategies. As such, this book will appeal to anyone whose lives are touched by uncertainty in the financial markets."
Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters in Math Finance program, NYU

"Understanding the volatility smile requires finding the appropriate model for stock evolution, fitting its parameters to observed option prices, and examining the consistency between implied evolution and true evolution. Alireza Javaheri′s book tackles all of these issues, with an especially comprehensive treatment of parameter estimation."
Emanuel Derman, author of My Life as a Quant

Présentation de l'éditeur

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.

Détails de l'édition

• Éditeur: John Wiley & Sons Inc
• Date d'édition: 2005
• ISBN 10: 0471733873
• ISBN 13: 9780471733874
• Reliure: Relié
• Langue: anglais
• Nombre de pages: 272