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Volatility as an Asset Class

Volatility as an Asset Class

          
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About the Book

With the recent steep rise and many changes in the field of volatility in the capital markets, exchanges across the world are planning to increase volatility trading. Volatility as an Asset Class brings together the best techniques from both academics and practitioners at an important time. Written from the practitioner's perspective, but with important academic contributions, this book is wholly devoted to the trading of volatility as an asset class. This guide covers: - Trading of volatility and related issues (eg, measurement, forecasting, modelling and hedging) - 3rd generation volatility products including volatility, variance, gamma and correlation swaps - How volatility can be measured, what it means, and how it can be used - Reviews the market and compares volatility and fixed income asset classes - Shows how to build volatility surfaces - Examines the reliability of the VIX and describes the VIX and other CBOE-traded volatility products - Pricing and hedging variance swaps - Trend following in terms of a volatility strategy - How the models are calibrated to the market. This book is recommended reading for traders, risk managers, hedge fund managers, front-, middle- and back-office personnel and software designers, or anyone looking to take advantage of this market.

Table of Contents:
Introduction Israel Nelken Super Computer Consulting, Inc SECTION 1: NOVEL USES OF VOLATILITY, IN A TRADITIONAL FRAMEWORK 1 Building Implied Volatility Surfaces from the Available Market Quotes: A Unified Approach Antonio Castagna; Fabio Mercurio Banca Profilo; Banca IMI 2 Shedding Light on Alternative Beta: A Volatility and Fixed Income Asset Class Comparison David E. Kuenzi Glenwood Capital Investments, LLC 3 Trend Following as a Long Volatility Strategy Patrick Kremer; Hari P. Krishnan; Marc Malek Conquest Capital Group LLC; Heptagon Capital; Conquest Capital Group LLC 4 Basket Volatility and Correlation Matthias R. Fengler, Kay F. Pilz, Peter Schwendner Sal. Oppenheim Jr&Cie. Frankfurt am Main, Germany 5 Rethinking Volatility in the Era of Markov Processes, Fractal Geometry and Guided Random Walks Peter Krause Krause Financial Systems SECTION 2: THE VIX 6 Construction and Interpretation of Model-free Implied Volatility Torben G. Andersen; Oleg Bondarenko Kellogg School of Management, IL; University of Illinois at Chicago, IL SECTION 3: NEW PRODUCTS RELATED TO TRADING VOLATILITY 7 Second-Generation Volatility Products Nicolas Mougeot Deutsche Bank 8 Exchange-Traded Volatility: CBOE and CFE VIX and Variance Derivatives John Hiatt, Catherine Shalen CBOE 9 Investment Strategies Using the Volatility Index (case study of the Korean market) Chul Min Kim Hyundai Securities 10 Risk Premium, Pricing and Hedging for Variance Swaps Srdjan D. Stojanovic University of Cincinnati 11 Corridor Variance Swaps Peter Carr; Keith Lewis Bloomberg/NYU; KALX, LLC


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Product Details
  • ISBN-13: 9781906348366
  • Publisher: Risk Books
  • Publisher Imprint: Risk Books
  • Height: 235 mm
  • Spine Width: 22 mm
  • Width: 155 mm
  • ISBN-10: 1906348367
  • Publisher Date: 01 Oct 2007
  • Binding: Paperback
  • Returnable: N
  • Weight: 618 gr


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