LEADER 05742nam 2200853 a 450 001 9910139031503321 005 20240131151124.0 010 $a9781118416723 010 $a1118416724 010 $a9781118662724 010 $a1118662725 010 $a9781299402478 010 $a129940247X 010 $a9781118420447 010 $a1118420446 035 $a(CKB)2550000001017887 035 $a(EBL)1157399 035 $a(OCoLC)831115119 035 $a(SSID)ssj0000856923 035 $a(PQKBManifestationID)11450351 035 $a(PQKBTitleCode)TC0000856923 035 $a(PQKBWorkID)10818114 035 $a(PQKB)10553553 035 $a(MiAaPQ)EBC1157399 035 $a(DLC) 2012049619 035 $a(MiAaPQ)EBC5247960 035 $a(Au-PeEL)EBL1157399 035 $a(CaPaEBR)ebr10677736 035 $a(Au-PeEL)EBL5247960 035 $a(CaONFJC)MIL471497 035 $a(OCoLC)821067816 035 $a(PPN)183853229 035 $a(Perlego)1002335 035 $a(EXLCZ)992550000001017887 100 $a20121207d2013 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aVolatility trading /$fEuan Sinclair 205 $a2nd ed. 210 $aHoboken, N.J. $cJohn Wiley & Sons, Inc.$d[2013] 215 $a1 online resource (322 p.) 225 1 $aWiley trading series 300 $aDescription based upon print version of record. 311 08$a9781118347133 311 08$a1118347137 320 $aIncludes bibliographical references and index. 327 $aCover; Title Page; Copyright; Contents; Acknowledgments; Introduction to the Second Edition; About This Book; The Trading Process; Chapter 1 Option Pricing; The Black-Scholes-Merton Model; Modeling Assumptions; Existence of a Tradable Underlying; Absence of Dividends or Storage Costs; Ability to Short the Underlying; The Existence of a Single Constant Interest Rate; Absence of Taxes; The Underlying Can Be Traded in Any Size; It Is Costless to Trade the Underlying; Volatility Is Constant; Assumptions about the Distribution of Returns; Conclusion; Summary; Chapter 2 Volatility Measurement 327 $aDefining and Measuring VolatilityDefinition of Volatility; Alternative Volatility Estimators; Using Higher-Frequency Data; Summary; Chapter 3 Stylized Facts about Returns and Volatility; Definition of a Stylized Fact; Volatility Is Not Constant; Characteristics of the Return Distribution; Volume and Volatility; Distribution of Volatility; Summary; Chapter 4 Volatility Forecasting; Absence of Transaction Costs; Perfect Information Flow; Agreement about the Price Implications of Information; Maximum Likelihood Estimation; Volatility Forecasting Using Fundamental Information 327 $aThe Variance PremiumSummary; Chapter 5 Implied Volatility Dynamics; Volatility Level Dynamics; The Smile and the Underlying; Sticky Strike; Sticky Delta; Smile Dynamics; Term Structure Dynamics; Summary; Chapter 6 Hedging; Ad Hoc Hedging Methods; Hedging at Regular Intervals; Hedging to a Delta Band; Hedging Based on Underlying Price Changes; Utility-Based Methods; The Asymptotic Solution of Whalley and Wilmott; The Double Asymptotic Method of Zakamouline; Estimation of Transaction Costs; Aggregation of Options on Different Underlyings; Summary 327 $aChapter 7 Distribution of Hedged Option PositionsDiscrete Hedging and Path Dependency; Volatility Dependency; Summary; Chapter 8 Money Management; Ad Hoc Sizing Schemes; The Kelly Criterion; Time for Kelly to Dominate; Effect of Parameter Mis-Estimation; What is Bankroll; Alternatives to Kelly; Summary; Chapter 9 Trade Evaluation; General Planning Procedures; Risk-Adjusted Performance Measures; The Sharpe Ratio; Alternatives to the Sharpe Ratio; Conclusions; Setting Goals; Persistence of Performance; Relative Persistence; Absolute Persistence; Higher Level Evaluation; Summary 327 $aChapter 10 PsychologySelf-Attribution Bias; Overconfidence; The Availability Heuristic; Short-Term Thinking; Loss Aversion; Conservatism and Representativeness; Confirmation Bias; Hindsight Bias; Anchoring and Adjustment; The Narrative Fallacy; Prospect Theory; Summary; Chapter 11 Generating Returns through Volatility; The Variance Premium; Correlation Premium; Skewness Premium; Reasons for the Variance Premium; Summary; Chapter 12 The VIX; The VIX Index; VIX Futures; VIX Basis as a Predictor of the Futures; Volatility ETNs; Other VIX Trades; Summary; Chapter 13 Leveraged ETFs 327 $aLeveraged ETFs as a Trade-Sizing Problem 330 $aPopular guide to options pricing and position sizing for quant traders In this second edition of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to gain an edge in everyday option trading endeavors. With an accessible, straightforward approach, he guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation. This new edition includes new chapters on the dynamics of realized and implied volatilities, trading the variance premium and using options to trade special situations in 410 0$aWiley trading series. 606 $aOptions (Finance) 606 $aHedging (Finance) 606 $aFutures 606 $aFinancial futures 615 0$aOptions (Finance) 615 0$aHedging (Finance) 615 0$aFutures. 615 0$aFinancial futures. 676 $a332.64/5 700 $aSinclair$b Euan$f1969-$0904053 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139031503321 996 $aVolatility trading$92021026 997 $aUNINA