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Volatility: Practical Options Theory / Adam S. Iqbal .

By: Material type: TextTextLanguage: English Publication details: New Jersey : John Wiley & Sons, Inc., Hoboken, 2018.Description: xvii, 187 pages : illustrations ; 24 cmISBN:
  • 9781119501619
Subject(s): DDC classification:
  • 23 332.6453 IQB
Contents:
Table Of Contents
Intro; Table of Contents; Preface; Acknowledgments; About the Author; CHAPTER 1: Volatility and Options; 1.1 WHAT IS AN OPTION?; 1.2 OPTIONS ARE BETS ON VOLATILITY; 1.3 OPTION PREMIUMS AND BREAKEVENS; 1.4 STRIKE CONVENTIONS; 1.5 WHAT IS VOLATILITY?; 1.6 TRADER'S SUMMARY; CHAPTER 2: Understanding Options Without a Model; 2.1 VANILLA OPTIONS; 2.2 MAKING ASSUMPTIONS; 2.3 UNDERSTANDING Vt WITH ECONOMIC ASSUMPTIONS; 2.4 DELTA AND DELTA HEDGING; 2.5 THE VALUE FUNCTION; 2.6 DEFINING DELTA; 2.7 UNDERSTANDING DELTA; 2.8 DELTA AS THE PROBABILITY OF AN IN-THE-MONEY EXPIRY 6.6 SETTING BASE VOLATILITY USING A THREE-PARAMETER GARCH MODEL6.7 VOLATILITY CARRY AND FORWARD VOLATILITY AGREEMENTS; 6.8 TRADER'S SUMMARY; CHAPTER 7: Vanna, Risk Reversal, and Skewness; 7.1 RISK REVERSAL; 7.2 SKEWNESS; 7.3 DELTA SPACE; 7.4 SMILE IN DELTA SPACE; 7.5 SMILE VEGA; 7.6 SMILE DELTA; 7.7 TRADER'S SUMMARY; CHAPTER 8: Volgamma, Butterfly, and Kurtosis; 8.1 THE BUTTERFLY STRATEGY; 8.2 VOLGAMMA AND BUTTERFLY; 8.3 KURTOSIS; 8.4 SMILE; 8.5 BUTTERFLIES AND SMILE VEGA; 8.6 TRADER'S SUMMARY; CHAPTER 9: Black-Scholes-Merton Model; 9.1 THE LOG-NORMAL DIFFUSION MODEL 9.2 THE BSM PARTIAL DIFFERENTIAL EQUATION (PDE)9.3 FEYNMAN-KAC; 9.4 RISK-NEUTRAL PROBABILITIES; 9.5 PROBABILITY OF EXCEEDING THE BREAKEVEN IN THE BSM MODEL; 9.6 TRADER'S SUMMARY; CHAPTER 10: The Black-Scholes Greeks; 10.1 SPOT DELTA, DUAL DELTA, AND FORWARD DELTA; 10.2 THETA; 10.3 GAMMA; 10.4 VEGA; 10.5 VANNA; 10.6 VOLGAMMA; 10.7 TRADER'S SUMMARY; CHAPTER 11: Predictability and Mean Reversion; 11.1 THE PAST AND THE FUTURE; 11.2 EMPIRICAL ANALYSIS; APPENDIX A: Probability; A.1 PROBABILITY DENSITY FUNCTIONS (PDFS); APPENDIX B: Calculus; Glossary; References; Index; End User License Agreement
Summary: The main challenges in successful options trading are conceptual, not mathematical. Volatility: Practical Options Theory provides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the basic and advanced ideas in options theory to a level that facilitates practical options trading. The approach taken in this book will prove particularly valuable to options traders and other practitioners tasked with making pricing and risk management decisions in an environment where time constraints mean that simplicity and intuition are of greater value than mathematical formalism. -- Provided by publisher
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Item type Current library Collection Call number Status Date due Barcode
General Books General Books CUTN Central Library Social Sciences Non-fiction 332.6453 IQB (Browse shelf(Opens below)) Available 46891

Table Of Contents


Intro; Table of Contents; Preface; Acknowledgments; About the Author; CHAPTER 1: Volatility and Options; 1.1 WHAT IS AN OPTION?; 1.2 OPTIONS ARE BETS ON VOLATILITY; 1.3 OPTION PREMIUMS AND BREAKEVENS; 1.4 STRIKE CONVENTIONS; 1.5 WHAT IS VOLATILITY?; 1.6 TRADER'S SUMMARY; CHAPTER 2: Understanding Options Without a Model; 2.1 VANILLA OPTIONS; 2.2 MAKING ASSUMPTIONS; 2.3 UNDERSTANDING Vt WITH ECONOMIC ASSUMPTIONS; 2.4 DELTA AND DELTA HEDGING; 2.5 THE VALUE FUNCTION; 2.6 DEFINING DELTA; 2.7 UNDERSTANDING DELTA; 2.8 DELTA AS THE PROBABILITY OF AN IN-THE-MONEY EXPIRY 6.6 SETTING BASE VOLATILITY USING A THREE-PARAMETER GARCH MODEL6.7 VOLATILITY CARRY AND FORWARD VOLATILITY AGREEMENTS; 6.8 TRADER'S SUMMARY; CHAPTER 7: Vanna, Risk Reversal, and Skewness; 7.1 RISK REVERSAL; 7.2 SKEWNESS; 7.3 DELTA SPACE; 7.4 SMILE IN DELTA SPACE; 7.5 SMILE VEGA; 7.6 SMILE DELTA; 7.7 TRADER'S SUMMARY; CHAPTER 8: Volgamma, Butterfly, and Kurtosis; 8.1 THE BUTTERFLY STRATEGY; 8.2 VOLGAMMA AND BUTTERFLY; 8.3 KURTOSIS; 8.4 SMILE; 8.5 BUTTERFLIES AND SMILE VEGA; 8.6 TRADER'S SUMMARY; CHAPTER 9: Black-Scholes-Merton Model; 9.1 THE LOG-NORMAL DIFFUSION MODEL 9.2 THE BSM PARTIAL DIFFERENTIAL EQUATION (PDE)9.3 FEYNMAN-KAC; 9.4 RISK-NEUTRAL PROBABILITIES; 9.5 PROBABILITY OF EXCEEDING THE BREAKEVEN IN THE BSM MODEL; 9.6 TRADER'S SUMMARY; CHAPTER 10: The Black-Scholes Greeks; 10.1 SPOT DELTA, DUAL DELTA, AND FORWARD DELTA; 10.2 THETA; 10.3 GAMMA; 10.4 VEGA; 10.5 VANNA; 10.6 VOLGAMMA; 10.7 TRADER'S SUMMARY; CHAPTER 11: Predictability and Mean Reversion; 11.1 THE PAST AND THE FUTURE; 11.2 EMPIRICAL ANALYSIS; APPENDIX A: Probability; A.1 PROBABILITY DENSITY FUNCTIONS (PDFS); APPENDIX B: Calculus; Glossary; References; Index; End User License Agreement

The main challenges in successful options trading are conceptual, not mathematical. Volatility: Practical Options Theory provides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the basic and advanced ideas in options theory to a level that facilitates practical options trading. The approach taken in this book will prove particularly valuable to options traders and other practitioners tasked with making pricing and risk management decisions in an environment where time constraints mean that simplicity and intuition are of greater value than mathematical formalism. -- Provided by publisher

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