Autore	Sinclair Euan <1969->
Edizione	[1st edition]
Pubbl/distr/stampa	Hoboken, N.J., : Wiley, c2010
Descrizione fisica	1 online resource (321 p.)
Disciplina	332.63/2283
Collana	Wiley trading series
Soggetto topico	Options (Finance) Pricing - Mathematical models
ISBN	0-470-64252-1 1-119-19867-4 1-282-70780-9 9786612707803 0-470-64250-5
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Option Trading: Pricing and Volatility Strategies and Techniques; Contents; Preface; Acknowledgments; Chapter 1: History; Chapter 2: Introduction to Options; Chapter 3: Arbitrage Bounds for Option Prices; Chapter 4: Pricing Models; Chapter 5: The Solution of the Black-Scholes-Merton (BSM) Equation; Chapter 6: Option Strategies; Chapter 7: Volatility Estimation; Chapter 8: Implied Volatility; Chapter 9: General Principles of Trading and Hedging; Chapter 10: Market Making Techniques; Chapter 11: Volatility Trading; Chapter 12: Expiration Trading; Chapter 13: Risk Management; Conclusion Appendix A: DistributionsAppendix B: Correlation; Glossary; Index
Record Nr.	UNINA-9910140739503321

Autore	Sinclair Euan <1969->
Pubbl/distr/stampa	Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2020]
Descrizione fisica	1 online resource (243 pages) : illustrations
Disciplina	332.6453
Collana	Wiley trading series
Soggetto topico	Financial futures Options (Finance)
ISBN	1-119-58353-5 1-119-58352-7
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Options: a summary option pricing models -- The efficient market hypothesis and its limitations -- Forecasting volatility -- The variance premium -- Finding trades with positive expected value -- Volatility positions -- Directional option trading -- Directional option strategy selection -- Trade sizing -- Meta risk.
Record Nr.	UNINA-9910794340603321

Autore	Sinclair Euan <1969->
Pubbl/distr/stampa	Hoboken, New Jersey : , : John Wiley & Sons, Incorporated, , [2020]
Descrizione fisica	1 online resource (243 pages) : illustrations
Disciplina	332.6453
Collana	Wiley trading series
Soggetto topico	Financial futures Options (Finance)
ISBN	1-119-58353-5 1-119-58352-7
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Options: a summary option pricing models -- The efficient market hypothesis and its limitations -- Forecasting volatility -- The variance premium -- Finding trades with positive expected value -- Volatility positions -- Directional option trading -- Directional option strategy selection -- Trade sizing -- Meta risk.
Record Nr.	UNINA-9910827353803321

Autore	Sinclair Euan <1969->
Edizione	[2nd ed.]
Pubbl/distr/stampa	Hoboken, N.J., : John Wiley & Sons, Inc., [2013]
Descrizione fisica	1 online resource (322 p.)
Disciplina	332.64/5
Collana	Wiley trading series
Soggetto topico	Options (Finance) Hedging (Finance) Futures Financial futures
ISBN	9781118416723 1118416724 9781118662724 1118662725 9781299402478 129940247X 9781118420447 1118420446
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Cover; 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 Defining 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 The 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 Chapter 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 Chapter 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 Leveraged ETFs as a Trade-Sizing Problem
Record Nr.	UNINA-9910139031503321