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Binary options [[electronic resource] ] : strategies for directional and volatility trading / / Alex Nekritin
| Binary options [[electronic resource] ] : strategies for directional and volatility trading / / Alex Nekritin |
| Autore | Nekritin Alex <1980-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2013 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance)
Futures |
| ISBN |
1-118-52869-7
1-283-89326-6 1-118-42182-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction to binary options -- pt. 2. Binary options theory -- pt. 3. Trading binary options -- pt. 4. Binary options trading strategies -- pt. 5. Creating your binary options strategy -- pt. 6. Managing your binary options account -- pt. 7. Profiling with volatility. |
| Record Nr. | UNINA-9910138865203321 |
Nekritin Alex <1980->
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||
| Hoboken, N.J., : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Binary options : strategies for directional and volatility trading / / Alex Nekritin
| Binary options : strategies for directional and volatility trading / / Alex Nekritin |
| Autore | Nekritin Alex <1980-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2013 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley trading series |
| Soggetto topico |
Options (Finance)
Futures |
| ISBN |
9781118528693
1118528697 9781283893268 1283893266 9781118421826 1118421825 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Introduction to binary options -- pt. 2. Binary options theory -- pt. 3. Trading binary options -- pt. 4. Binary options trading strategies -- pt. 5. Creating your binary options strategy -- pt. 6. Managing your binary options account -- pt. 7. Profiling with volatility. |
| Altri titoli varianti | Strategies for directional and volatility trading |
| Record Nr. | UNINA-9910815880403321 |
|
Nekritin Alex <1980->
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| Hoboken, N.J., : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing
General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index |
| Record Nr. | UNINA-9910462534803321 |
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Capiński Marek <1951->
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||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing
General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index |
| Record Nr. | UNINA-9910785989103321 |
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Capiński Marek <1951->
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| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Essential option strategies : understanding the market and avoiding common pitfalls / / J. J. Kinahan
| Essential option strategies : understanding the market and avoiding common pitfalls / / J. J. Kinahan |
| Autore | Kinahan J. J. <1963-> |
| Pubbl/distr/stampa | Hoboken : , : Wiley, , [2016] |
| Descrizione fisica | 1 online resource (334 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance)
Investments |
| ISBN |
1-119-29151-8
1-119-29154-2 1-119-29155-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Introduction Acknowledgments About the Author Part I: Getting Started in Investing Chapter 1: The Opening Bell Probabilities Getting Started Research Data Charts Commissions and Fees Virtual Trading Platforms Chapter 2: First Days of Trading Brief History of Stock Market Averages Key Market Indexes Today The Volatility Index Futures The Bond Market Fed Watch Economic Indicators Earnings Find Your Niche Chapter 3: Know the Underlying Where Do Options Trade? Stock Talk Exchange-Traded Funds Short Selling On the Margin Chapter 4: Avoiding Mistakes Position Size Volume and Liquidity Order Entry Techniques Understand Risk Part II: The Options Market Chapter 5: Options Basics Stock Options Option Value Exercise and Assignment Volume and Open Interest Index Options Chapter 6: Intro to Call Options Call Options versus Stock Risk and Reward of Long Call Real-World Example Short Calls Index Call Options Chapter 7: Intro to Put Options Long Puts versus Short Selling Risk and Reward Real-World Example Protective Puts Index Put Options Chapter 8: Components of Options Prices Delta Defined Strike Price Time Decay Implied Volatility Dividends Interest Rates Put-Call Parity Chapter 9: Probabilities Probabilities 101 Probability of Profit Probability of Touching Example Delta to Measure Probabilities Part III: Strategies and Positions Chapter 10: Covered Calls The Covered Call Example Chapter 11: Cash-Secured Puts Short Puts Example Chapter 12: Long Vertical Spreads Bull Call Spread Example Bear Put Spread Example Chapter 13: Short Vertical Spreads Short (Bull) Put Spread Example Short (Bear) Call Spread Example Chapter 14: Calendar Spreads Call Calendar Spread Example Put Calendar Spread Example Chapter 15: Butterfly Spreads Butterfly Spread Example Iron Butterfly Spread Example Chapter 16: Condor Spreads Condor Spread Example Iron Condor Spread Example Chapter 17: Final Bell Risk Management Option Orders Using Options to Reduce Capital Commitment Rolling with Spread Trades Investing and Social Media Final Thoughts Appendix A: The Greeks Appendix B: Strategy Recap Appendix C: Charts and Volatility Studies Glossary Index. |
| Record Nr. | UNINA-9910135013403321 |
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Kinahan J. J. <1963->
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||
| Hoboken : , : Wiley, , [2016] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Essential option strategies : understanding the market and avoiding common pitfalls / / J. J. Kinahan
| Essential option strategies : understanding the market and avoiding common pitfalls / / J. J. Kinahan |
| Autore | Kinahan J. J. <1963-> |
| Pubbl/distr/stampa | Hoboken : , : Wiley, , [2016] |
| Descrizione fisica | 1 online resource (334 p.) |
| Disciplina | 332.64/53 |
| Soggetto topico |
Options (Finance)
Investments |
| ISBN |
1-119-29151-8
1-119-29154-2 1-119-29155-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Introduction Acknowledgments About the Author Part I: Getting Started in Investing Chapter 1: The Opening Bell Probabilities Getting Started Research Data Charts Commissions and Fees Virtual Trading Platforms Chapter 2: First Days of Trading Brief History of Stock Market Averages Key Market Indexes Today The Volatility Index Futures The Bond Market Fed Watch Economic Indicators Earnings Find Your Niche Chapter 3: Know the Underlying Where Do Options Trade? Stock Talk Exchange-Traded Funds Short Selling On the Margin Chapter 4: Avoiding Mistakes Position Size Volume and Liquidity Order Entry Techniques Understand Risk Part II: The Options Market Chapter 5: Options Basics Stock Options Option Value Exercise and Assignment Volume and Open Interest Index Options Chapter 6: Intro to Call Options Call Options versus Stock Risk and Reward of Long Call Real-World Example Short Calls Index Call Options Chapter 7: Intro to Put Options Long Puts versus Short Selling Risk and Reward Real-World Example Protective Puts Index Put Options Chapter 8: Components of Options Prices Delta Defined Strike Price Time Decay Implied Volatility Dividends Interest Rates Put-Call Parity Chapter 9: Probabilities Probabilities 101 Probability of Profit Probability of Touching Example Delta to Measure Probabilities Part III: Strategies and Positions Chapter 10: Covered Calls The Covered Call Example Chapter 11: Cash-Secured Puts Short Puts Example Chapter 12: Long Vertical Spreads Bull Call Spread Example Bear Put Spread Example Chapter 13: Short Vertical Spreads Short (Bull) Put Spread Example Short (Bear) Call Spread Example Chapter 14: Calendar Spreads Call Calendar Spread Example Put Calendar Spread Example Chapter 15: Butterfly Spreads Butterfly Spread Example Iron Butterfly Spread Example Chapter 16: Condor Spreads Condor Spread Example Iron Condor Spread Example Chapter 17: Final Bell Risk Management Option Orders Using Options to Reduce Capital Commitment Rolling with Spread Trades Investing and Social Media Final Thoughts Appendix A: The Greeks Appendix B: Strategy Recap Appendix C: Charts and Volatility Studies Glossary Index. |
| Record Nr. | UNINA-9910821461303321 |
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Kinahan J. J. <1963->
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| Hoboken : , : Wiley, , [2016] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Exotic options and hybrids : a guide to structuring, pricing and trading / / Mohamed Bouzoubaa and Adel Osseiran
| Exotic options and hybrids : a guide to structuring, pricing and trading / / Mohamed Bouzoubaa and Adel Osseiran |
| Autore | Bouzoubaa Mohamed |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, N.J., : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (394 p.) |
| Disciplina | 332.64/53 |
| Altri autori (Persone) | OsseiranAdel |
| Soggetto topico | Exotic options (Finance) |
| ISBN |
0-470-71008-X
1-119-20696-0 1-282-93970-X 9786612939709 0-470-97054-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. I. Foundations -- pt. II. Exotic derivatives and structured products -- pt. III. More on exotic structures -- pt. IV. Hybrid derivatives and dynamic strategies -- Appendices. |
| Record Nr. | UNINA-9910141039103321 |
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Bouzoubaa Mohamed
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| Chichester ; ; Hoboken, N.J., : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Exotic options trading / / Frans de Weert
| Exotic options trading / / Frans de Weert |
| Autore | De Weert Frans |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (204 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley finance series |
| Soggetto topico | Exotic options (Finance) |
| ISBN |
1-119-20873-4
1-281-32069-2 9786611320690 0-470-75631-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Exotic Options Trading; Contents; Preface; Acknowledgements; 1 Introduction; 2 Conventional Options, Forwards and Greeks; 3 Profit on Gamma and Relation to Theta; 4 Delta Cash and Gamma Cash; 5 Skew; 6 Simple Option Strategies; 7 Monte Carlo Processes; 8 Chooser Option; 9 Digital Options; 10 Barrier Options; 11 Forward Starting Options; 12 Ladder Options; 13 Lookback Options; 14 Cliquets; 15 Reverse Convertibles; 16 Autocallables; 17 Callable and Puttable Reverse Convertibles; 18 Asian Options; 19 Quanto Options; 20 Composite Options; 21 Outperformance Options; 22 Best of and Worst of Options
23 Variance Swaps24 Dispersion; 25 Engineering Financial Structures; Appendix A Variance of a Composite Option and Outperformance Option; Appendix B Replicating the Variance Swap; Bibliography; Index |
| Record Nr. | UNINA-9910145421303321 |
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De Weert Frans
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| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington
| FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington |
| Autore | James Jessica <1968-> |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (267 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley Finance Series |
| Soggetto topico | Options (Finance) |
| ISBN |
1-118-79327-7
1-118-79325-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FX Option Performance; Contents; About the Authors; CHAPTER 1 Introduction; 1.1 Why Read This Book?; 1.2 This Book; 1.3 What Is an FX Option?; 1.4 Market Participants; 1.4.1 How Hedgers Can Use This Information; 1.4.2 How Investors Can Use This Information; 1.5 History and Size of the FX Option Market; 1.6 The FX Option Trading Day; 1.7 Summary; References; CHAPTER 2 The FX Option Market: How Options Are Traded and What That Implies for Option Value; 2.1 Introduction; 2.2 The Basics of Option Pricing; 2.2.1 The Black-Scholes-Merton Model; 2.2.2 The Impact of Volatility
2.2.3 The Impact of Rate Differentials 2.3 How Options Are Traded; 2.3.1 Two Views of Volatility; 2.3.2 Static Trading; 2.3.3 Dynamic Trading; 2.4 A More Detailed Discussion of Option Trading; 2.4.1 The Greeks; 2.5 Summary; References; CHAPTER 3 It Is All About the Data; 3.1 Introduction; 3.2 The Goal: To Price Lots of Options!; 3.3 Defining a Universe of Currencies; 3.4 The Data; 3.4.1 Pricing Model Data Requirements; 3.4.2 Sourcing the Data; 3.4.3 Calculation Frequency; 3.4.4 Currency of Option Notional Amount; 3.4.5 Spot Market Value; 3.5 Limitations; 3.6 Summary; References CHAPTER 4 At-the-Money-Forward (ATMF) Options 4.1 What are ATMF Options?; 4.1.1 How Are ATMF Options Used and Traded?; 4.1.2 What Is the 'Fair' Price for an ATMF Option?; 4.2 How Might Mispricings Arise?; 4.2.1 Can the Forward Rate Be on Average Wrong?; 4.2.2 Can the Implied Volatility Be on Average Wrong?; 4.2.3 Simple Example with USDJPY; 4.3 Results for Straddles for All Currency Pairs; 4.3.1 Discussion of Results for Straddles; 4.3.2 A Breakdown of the Results by Currency Pair; 4.3.3 Drilling Down to Different Time Periods; 4.3.4 Comparison of Put and Call Options 4.4 Have We Found a Trading Strategy? 4.5 Summary of Results; References; CHAPTER 5 Out-of-the-Money (OTM) Options: Do Supposedly 'Cheap' OTM Options Offer Good Value?; 5.1 Introduction; 5.2 Price versus Value; 5.3 The Implied Volatility Surface; 5.4 Why Do Volatility Surfaces Look Like They Do?; 5.4.1 Equity Indices; 5.4.2 Foreign Exchange Markets; 5.5 Parameterising the Volatility Smile; 5.6 Measuring Relative Value in ATMF and OTM Foreign Exchange Options; 5.6.1 The Analysis; 5.6.2 Option Premium; 5.6.3 Option Payoff; 5.6.4 Payoff-to-Premium Ratios; 5.6.5 Discussion 5.6.6 Alternative Measures of OTM Option Worth 5.7 Summary; Reference; CHAPTER 6 G10 vs EM Currency Pairs; 6.1 Why Consider EM and G10 Options Separately?; 6.2 How Would EM FX Options Be Used?; 6.3 Straddle Results; 6.3.1 Comparison of ATMF Put and Call Options; 6.3.2 Comparison of OTM Put and Call Options; 6.3.3 The Effect of Tenor; 6.4 Hedging with Forwards vs Hedging with Options; 6.5 Summary of Results; CHAPTER 7 Trading Strategies; 7.1 Introduction; 7.2 History of the Carry Trade; 7.3 Theory; 7.4 G10 Carry Trade Results; 7.5 EM Carry Trade Results; 7.6 What is Going On? 7.7 Option Trading Strategies- Buying Puts |
| Record Nr. | UNINA-9910140486803321 |
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James Jessica <1968->
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| West Sussex, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington
| FX option performance : an analysis of the value delivered by FX options since the start of the market / / Jessica James, Jonathan Fullwood, Peter Billington |
| Autore | James Jessica <1968-> |
| Pubbl/distr/stampa | West Sussex, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (267 p.) |
| Disciplina | 332.64/53 |
| Collana | Wiley Finance Series |
| Soggetto topico | Options (Finance) |
| ISBN |
1-118-79327-7
1-118-79325-0 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
FX Option Performance; Contents; About the Authors; CHAPTER 1 Introduction; 1.1 Why Read This Book?; 1.2 This Book; 1.3 What Is an FX Option?; 1.4 Market Participants; 1.4.1 How Hedgers Can Use This Information; 1.4.2 How Investors Can Use This Information; 1.5 History and Size of the FX Option Market; 1.6 The FX Option Trading Day; 1.7 Summary; References; CHAPTER 2 The FX Option Market: How Options Are Traded and What That Implies for Option Value; 2.1 Introduction; 2.2 The Basics of Option Pricing; 2.2.1 The Black-Scholes-Merton Model; 2.2.2 The Impact of Volatility
2.2.3 The Impact of Rate Differentials 2.3 How Options Are Traded; 2.3.1 Two Views of Volatility; 2.3.2 Static Trading; 2.3.3 Dynamic Trading; 2.4 A More Detailed Discussion of Option Trading; 2.4.1 The Greeks; 2.5 Summary; References; CHAPTER 3 It Is All About the Data; 3.1 Introduction; 3.2 The Goal: To Price Lots of Options!; 3.3 Defining a Universe of Currencies; 3.4 The Data; 3.4.1 Pricing Model Data Requirements; 3.4.2 Sourcing the Data; 3.4.3 Calculation Frequency; 3.4.4 Currency of Option Notional Amount; 3.4.5 Spot Market Value; 3.5 Limitations; 3.6 Summary; References CHAPTER 4 At-the-Money-Forward (ATMF) Options 4.1 What are ATMF Options?; 4.1.1 How Are ATMF Options Used and Traded?; 4.1.2 What Is the 'Fair' Price for an ATMF Option?; 4.2 How Might Mispricings Arise?; 4.2.1 Can the Forward Rate Be on Average Wrong?; 4.2.2 Can the Implied Volatility Be on Average Wrong?; 4.2.3 Simple Example with USDJPY; 4.3 Results for Straddles for All Currency Pairs; 4.3.1 Discussion of Results for Straddles; 4.3.2 A Breakdown of the Results by Currency Pair; 4.3.3 Drilling Down to Different Time Periods; 4.3.4 Comparison of Put and Call Options 4.4 Have We Found a Trading Strategy? 4.5 Summary of Results; References; CHAPTER 5 Out-of-the-Money (OTM) Options: Do Supposedly 'Cheap' OTM Options Offer Good Value?; 5.1 Introduction; 5.2 Price versus Value; 5.3 The Implied Volatility Surface; 5.4 Why Do Volatility Surfaces Look Like They Do?; 5.4.1 Equity Indices; 5.4.2 Foreign Exchange Markets; 5.5 Parameterising the Volatility Smile; 5.6 Measuring Relative Value in ATMF and OTM Foreign Exchange Options; 5.6.1 The Analysis; 5.6.2 Option Premium; 5.6.3 Option Payoff; 5.6.4 Payoff-to-Premium Ratios; 5.6.5 Discussion 5.6.6 Alternative Measures of OTM Option Worth 5.7 Summary; Reference; CHAPTER 6 G10 vs EM Currency Pairs; 6.1 Why Consider EM and G10 Options Separately?; 6.2 How Would EM FX Options Be Used?; 6.3 Straddle Results; 6.3.1 Comparison of ATMF Put and Call Options; 6.3.2 Comparison of OTM Put and Call Options; 6.3.3 The Effect of Tenor; 6.4 Hedging with Forwards vs Hedging with Options; 6.5 Summary of Results; CHAPTER 7 Trading Strategies; 7.1 Introduction; 7.2 History of the Carry Trade; 7.3 Theory; 7.4 G10 Carry Trade Results; 7.5 EM Carry Trade Results; 7.6 What is Going On? 7.7 Option Trading Strategies- Buying Puts |
| Record Nr. | UNINA-9910818361003321 |
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James Jessica <1968->
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| West Sussex, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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