Inside Volatility Arbitrage

Inside Volatility Arbitrage: The Secrets of Skewness

By Alireza Javaheri

* Publisher: Wiley

* Pages: 272
* Publication Date: 2005-09-14
* ISBN-10: 0471733873
* ISBN-13: 9780471733874
* Binding: QQ: 7450911

Book Description

Todays traders want to know when volatility is a sign that the sky is falling (and they should stay out of the market), and when it is a sign of a possible trading opportunity. Inside Volatility Arbitrage can help them do this. Author and financial expert Alireza Javaheri uses the classic approach to evaluating volatility — time series and financial econometrics — in a way that he believes is superior to methods presently used by market participants. He also suggests that there may be "skewness" trading opportunities that can be used to trade the markets more profitably. Filled with in-depth insight and expert advice, Inside Volatility Arbitrage will help traders discover when "skewness" may present valuable trading opportunities as well as why it can be so profitable.

Order your copy of this groundbreaking new work on assessing volatility using financial econometrics to trade against "skewness" scenarios today.

Summary: Title is very misleading

Rating: 1
DO NOT buy this book based on the title – it has little to do with skew and how to take advantage of it. Do buy it if you want a review of mathematical volatility models.

Summary: Excellent Book

Rating: 5
Sometimes practitioners think what the smile is "given by the heaven" and what all the traders are "prices takers"..but.¿what if there are not available option prices? or ¿what happens if the option market prices are not taking in account the real underliying evolution or the real hedging costs implied in this evolution?.

This books explain how you can model the smile when only the statistical serie of the underliying is available, and finally check the consistency between the implied parameters in the option prices and the parameters implied in the time series for a speciffical model, and check if there exist an arbitrage opportunity (or a badly specified model). Is important to say what additionally Javaheri provides a very flexible code for implementating and testing diferent econometric approaches to solve the problem.

The only suggestion to the author for the next edition is to dedicate more pages to one of the most complex underlying's: the yield curve, because is well known that this subject requires special attention.

Finally is necessary to give a warning..this book demands from a reader a high level in maths and econometric time series, in other way the readers could have a "depress", like i could see in other review.

Summary: A Masterpiece

Rating: 5
This is one of those rare books that actually shows you how to find the optimal set of parameters. The only thing missing in this book is the actual procedure for finding the optimal set of parameters. It is mentioned, however, the procedure is the Powells method from "Numerical Recipes in C", but how the initial solution is guessed is not specified.

That is the only thing that has stopped me from naming this book "A Perfect Masterpiece".

And finally, to the person who has written the review "Practitioners Beware", I would say, "on the contrary!". Practitioners, this is it!

Sincerely,

Aleksandar Mojancevski

Summary: Cool !

Rating: 5
Best investment I have made in years ! The book is clear, detailed and complete. I recommend it to anyone interested in volatilty models.

Summary: Finally !

Rating: 5
Finally a book explaining all the details and techniques of estimation and volatility arbitrage !

I had been waiting for something like this for a long time.

获取PDF电子书代发服务10立即求助
1111

未经允许不得转载:Wow! eBook » Inside Volatility Arbitrage

评论