Del 445 - Wiley Trading

Option Trading

Pricing and Volatility Strategies and Techniques

Inbunden, Engelska, 2010

Av Euan Sinclair

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An A to Z options trading guide for the new millennium and the new economyWritten 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 positionsOther titles by Sinclair: Volatility TradingAddresses the various concerns of the professional options traderOption 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.

Produktinformation

Utgivningsdatum2010-07-13
Mått158 x 236 x 25 mm
Vikt522 g
FormatInbunden
SpråkEngelska
SerieWiley Trading
Antal sidor320
FörlagJohn Wiley & Sons Inc
ISBN9780470497104

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Finansiering inom Ekonomi och ledarskap

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.

Preface xiProfessional Trading xiiThe Role of Mathematics xivThe Structure of this Book xviAcknowledgments xixCHAPTER 1 History 1Summary 6CHAPTER 2 Introduction to Options 7Options 9Specifications for an Option Contract 9Uses of Options 11Market Structure 14Summary 20CHAPTER 3 Arbitrage Bounds for Option Prices 21American Options Compared to European Options 25Absolute Maximum and Minimum Values 25Summary 39CHAPTER 4 Pricing Models 41General Modeling Principles 42Choice of Dependent Variables 45The Binomial Model 48The Black-Scholes-Merton (BSM) Model 55Summary 61CHAPTER 5 The Solution of theBlack-Scholes-Merton (BSM) Equation 63Delta 67Gamma 72Theta 76Vega 80Summary 88CHAPTER 6 Option Strategies 89Forecasting and Strategy Selection 89The Strategies 93Summary 116CHAPTER 7 Volatility Estimation 117Defining and Measuring Volatility 119Forecasting Volatility 129Volatility in Context 132Summary 136CHAPTER 8 Implied Volatility 137The Implied Volatility Curve 138Parameterizing and Measuring the Implied Volatility Curve 142The Implied Volatility Curve as a Function of Expiration 145Implied Volatility Dynamics 146Summary 151CHAPTER 9 General Principles of Trading and Hedging 153Edge 154Hedging 156Trade Sizing and Leverage 158Scalability and Breadth 163Summary 164CHAPTER 10 Market Making Techniques 165Market Structure 166Market Making 169Trading Based on Order-Book Information 181Summary 189CHAPTER 11 Volatility Trading 191Hedging 192Hedging in Practice 193The P/L Distribution of Hedged Option Positions 203Summary 213CHAPTER 12 Expiration Trading 215Pinning 215Pin Risk 219Forward Risk 221Exercising the Wrong Options 221Irrelevance of the Greeks 223Expiring at a Short Strike 224Summary 225CHAPTER 13 Risk Management 227Example of Position Repair 228Inventory 232Delta 234Gamma 234Vega 238Correlation 240Rho 242Stock Risk: Dividends and Buy-in Risk 242The Early Exercise of Options 243Summary 248Conclusion 249APPENDIX A Distributions 253Example 253Moments and the “Shape” of Distributions 254APPENDIX B Correlation 263Glossary 271Index 285