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단행본Wiley Trading Series

Volatility Trading

판사항
2nd ed
발행사항
Hoboken, New Jersey : John Wiley & Sons, 2013
형태사항
xx, 291 p. : ill. ; 24cm
서지주기
Includes bibliographical references (pages 261-272) and index
소장정보
위치등록번호청구기호 / 출력상태반납예정일
이용 가능 (1)
자료실E205210대출가능-
이용 가능 (1)
  • 등록번호
    E205210
    상태/반납예정일
    대출가능
    -
    위치/청구기호(출력)
    자료실
책 소개
Popular 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 equity markets.

  • Filled with volatility models including brand new option trades for quant traders
  • Options trader Euan Sinclair specializes in the design and implementation of quantitative trading strategies

Volatility Trading, Second Edition + Website outlines strategies for defining a true edge in the market using options to trade volatility profitably.



New feature

Praise from experts for the Second Edition of Volatility Trading

"Benefitting from his experience as an option trader and his background as a physicist, Euan Sinclair gives a comprehensive and detailed treatment of theoretical and practical aspects involved in volatility trading. The style is to-the-point, focused, and honest. The book includes something rarer than a CD-ROM: humor. Heartily recommended for the practitioner, as well as the academic who wants to know."
—JESPER ANDREASEN, Danske Markets, Copenhagen

"Over the last five years, this has become the classic work on practical options trading. It has been updated to cover innovations in markets as well as additional material on behavioral finance and capturing risk premium Everyone who trades options should read this book."
—AARON BROWN, Risk Manager, AQR Capital Management, and author of Red-Blooded Risk

"Practical, engaging, and concise, Euan Sinclair's Volatility Trading remains the best book I have seen about options trading from the practitioner's standpoint. A far cry from the standard textbook treatment, Sinclair's discussion of practical topics such as trade sizing, exit criteria, and P&L management—peppered with relevant trading anecdotes—educates while countering many of the trader myths and fallacies one hears over the years. New material on trading the VIX and volatility ETFs is particularly timely and useful."
—STEVE CRUTCHFIELD, Head of U.S. Options, NYSE Euronext



목차
CHAPTER 1. Option Pricing CHAPTER 2. Volatility Measurement CHAPTER 3. Stylized Facts about Returns and Volatility CHAPTER 4. Volatility Forecasting CHAPTER 5. Implied Volatility Dynamic CHAPTER 6. Hedging CHAPTER 7. Distribution of Hedged Option Positions CHAPTER 8. Money Management CHAPTER 9. Trade Evaluation CHAPTER 10. Psychology CHAPTER 11. Generating Returns through Volatility CHAPTER 12. The VIX CHAPTER 13. Leveraged ETFs CHAPTER 14. Life Cycle of a Trade CHAPTER 15. Conclusion