Option Trading: Pricing and Volatility Strategies and Techniques

Передня обкладинка
John Wiley & Sons, 16 черв. 2010 р. - 320 стор.

An A to Z options trading guide for the new millennium and the new economy

Written by professional trader and quantitative analyst Euan Sinclair, Option Trading is a comprehensive guide to this discipline covering everything from historical background, contract types, and market structure to volatility measurement, forecasting, and hedging techniques.

This comprehensive guide presents the detail and practical information that professional option traders need, whether they're using options to hedge, manage money, arbitrage, or engage in structured finance deals. It contains information essential to anyone in this field, including option pricing and price forecasting, the Greeks, implied volatility, volatility measurement and forecasting, and specific option strategies.

  • Explains how to break down a typical position, and repair positions
  • Other titles by Sinclair: Volatility Trading
  • Addresses the various concerns of the professional options trader

Option trading will continue to be an important part of the financial landscape. This book will show you how to make the most of these profitable products, no matter what the market does.

 

Вибрані сторінки

Зміст

Summary
6
Summary
20
Summary
39
The Binomial Model
48
Summary
61
Theta
76
Option Strategies
89
Summary
116
Pin Risk
219
Summary
225
Inventory
232
Gamma
234
Vega
238
Correlation
240
Rho
242
The Early Exercise of Options
243

Forecasting Volatility
129
Parameterizing and Measuring the Implied
142
General Principles of Trading
153
Scalability and Breadth
163
Market Making
169
Trading Based on OrderBook Information
181
Summary
189
The PL Distribution of Hedged Option Positions
203
Summary
213
Summary
248
Conclusion
249
APPENDIX A Distributions
253
Moments and the Shape of Distributions
254
APPENDIX B Correlation
263
Glossary
271
Index
285
Авторські права

Інші видання - Показати все

Option Trading: Pricing and Volatility Strategies and Techniques
Euan Sinclair
Обмежений попередній перегляд - 2010
Option Trading: Pricing and Volatility Strategies and Techniques
Euan Sinclair
Попередній перегляд недоступний - 2010
Option Trading: Pricing and Volatility Strategies and Techniques
Euan Sinclair
Попередній перегляд недоступний - 2010

Загальні терміни та фрази

American options amount arbitrage assume at-the-money at-the-money options bid-ask spread breakeven Breakeven price butterfly Call Delta call option call spread cash Chapter contract correlation delta hedging dividend yield dynamic hedging equation estimate European options example exchange exercise exp(−rt expected value expiration forecast function futures gamma gives Hedging Bands higher strike implied volatility implied volatility curve important interest rate Kelly criterion kurtosis long call long position look market maker means measure median absolute deviation option market option position option pricing option strategy option trader option value order book out-of-the-money Parameters payoff portfolio premium pricing model probability Profit and Loss put call parity realized volatility relationship risk management risk-free sample sell short call short position shown in Figure situation standard deviation straddle strike price theta things tion trade options traders need transaction costs variables variance vega volatility trading zero

Про автора (2010)

EUAN SINCLAIR is an option trader with fifteen years of professional trading experience. He specializes in the design and implementation of quantitative trading strategies. Sinclair is currently a proprietary option trader for Bluefin Trading, where he trades based on quantitative models of his own design. He holds a PhD in theoretical physics from the University of Bristol. Sinclair is also the author of the Wiley title Volatility Trading.

Бібліографічна інформація

НазваOption Trading: Pricing and Volatility Strategies and Techniques
Том 445 з серії Wiley Trading
АвторEuan Sinclair
Виданняілюстроване
ВидавецьJohn Wiley & Sons, 2010
ISBN0470497106, 9780470497104
Обсяг320 стор.
  
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