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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market - Couverture souple
Synopsis
In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.
Biographie de l'auteur
Dr. Giacomo Maria Mustarelli is currently a student at Imperial College, Uk, London in MSc Risk Management and Financial Engineering. He received his Bachelor in "Economics, finance and law for business administration" from "La Sapienza" University in Rome and he earned a MSc in Finance and Insurance in the same university with the highest grade.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mustarelli Giacomo MariaDr. Giacomo Maria Mustarelli is currently a student at Imperial College, Uk, London in MSc Risk Management and Financial Engineering. He received his Bachelor in Economics, finance and law for business admini. N° de réf. du vendeur 151401701
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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Couverture souple
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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The volatility derivative marketVariance Swap and VIXVVIX strategies Analysis of strategies on the volatility market
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PAP. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639772791
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The volatility derivative marketVariance Swap and VIXVVIX strategies Analysis of strategies on the volatility market
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PAP. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du vendeur L0-9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Couverture souple
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The volatility derivative market:Variance Swap and VIX/VVIX strategies : Analysis of strategies on the volatility market
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons. N° de réf. du vendeur 9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Edité par
Edizioni Accademiche Italiane Jul 2015, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons. 160 pp. Englisch. N° de réf. du vendeur 9783639772791
Quantité disponible : 2 disponible(s)
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Edité par
Edizioni Accademiche Italiane Jul 2015, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 160 pp. Englisch. N° de réf. du vendeur 9783639772791
Quantité disponible : 2 disponible(s)
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The volatility derivative market
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Couverture souple
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 160. N° de réf. du vendeur 26391659054
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The volatility derivative market
Edité par
Edizioni Accademiche Italiane, 2015
ISBN 10 : 3639772792
ISBN 13 : 9783639772791
Neuf
Couverture souple
Vendeur : Majestic Books, Hounslow, Royaume-Uni
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Etat : New. Print on Demand pp. 160. N° de réf. du vendeur 388989425
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