{"product_id":"volatility-trading-website-9781118347133","title":"Volatility Trading  Website","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003ePopular 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eAcknowledgments xi\u003c\/p\u003e \u003cp\u003eIntroduction to the Second Edition xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Option Pricing 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Black-Scholes-Merton Model 1\u003c\/p\u003e \u003cp\u003eModeling Assumptions 7\u003c\/p\u003e \u003cp\u003eConclusion 11\u003c\/p\u003e \u003cp\u003eSummary 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Volatility Measurement 13\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefining and Measuring Volatility 13\u003c\/p\u003e \u003cp\u003eDefinition of Volatility 14\u003c\/p\u003e \u003cp\u003eAlternative Volatility Estimators 20\u003c\/p\u003e \u003cp\u003eUsing Higher-Frequency Data 29\u003c\/p\u003e \u003cp\u003eSummary 33\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Stylized Facts about Returns and Volatility 35\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefinition of a Stylized Fact 35\u003c\/p\u003e \u003cp\u003eVolatility Is Not Constant 36\u003c\/p\u003e \u003cp\u003eCharacteristics of the Return Distribution 40\u003c\/p\u003e \u003cp\u003eVolume and Volatility 43\u003c\/p\u003e \u003cp\u003eDistribution of Volatility 45\u003c\/p\u003e \u003cp\u003eSummary 46\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Volatility Forecasting 49\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAbsence of Transaction Costs 50\u003c\/p\u003e \u003cp\u003ePerfect Information Flow 50\u003c\/p\u003e \u003cp\u003eAgreement about the Price Implications of Information 50\u003c\/p\u003e \u003cp\u003eMaximum Likelihood Estimation 54\u003c\/p\u003e \u003cp\u003eVolatility Forecasting Using Fundamental Information 60\u003c\/p\u003e \u003cp\u003eThe Variance Premium 62\u003c\/p\u003e \u003cp\u003eSummary 65\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Implied Volatility Dynamics 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eVolatility Level Dynamics 70\u003c\/p\u003e \u003cp\u003eThe Smile and the Underlying 80\u003c\/p\u003e \u003cp\u003eSmile Dynamics 82\u003c\/p\u003e \u003cp\u003eTerm Structure Dynamics 90\u003c\/p\u003e \u003cp\u003eSummary 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Hedging 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Hedging Methods 95\u003c\/p\u003e \u003cp\u003eUtility-Based Methods 96\u003c\/p\u003e \u003cp\u003eEstimation of Transaction Costs 109\u003c\/p\u003e \u003cp\u003eAggregation of Options on Different Underlyings 113\u003c\/p\u003e \u003cp\u003eSummary 115\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Distribution of Hedged Option Positions 117\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscrete Hedging and Path Dependency 117\u003c\/p\u003e \u003cp\u003eVolatility Dependency 123\u003c\/p\u003e \u003cp\u003eSummary 129\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Money Management 131\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAd Hoc Sizing Schemes 131\u003c\/p\u003e \u003cp\u003eThe Kelly Criterion 133\u003c\/p\u003e \u003cp\u003eTime for Kelly to Dominate 143\u003c\/p\u003e \u003cp\u003eEffect of Parameter Mis-Estimation 144\u003c\/p\u003e \u003cp\u003eWhat is Bankroll? 146\u003c\/p\u003e \u003cp\u003eAlternatives to Kelly 148\u003c\/p\u003e \u003cp\u003eSummary 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Trade Evaluation 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eGeneral Planning Procedures 164\u003c\/p\u003e \u003cp\u003eRisk-Adjusted Performance Measures 171\u003c\/p\u003e \u003cp\u003eSetting Goals 178\u003c\/p\u003e \u003cp\u003ePersistence of Performance 180\u003c\/p\u003e \u003cp\u003eRelative Persistence 180\u003c\/p\u003e \u003cp\u003eSummary 184\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Psychology 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSelf-Attribution Bias 191\u003c\/p\u003e \u003cp\u003eOverconfidence 193\u003c\/p\u003e \u003cp\u003eThe Availability Heuristic 197\u003c\/p\u003e \u003cp\u003eShort-Term Thinking 199\u003c\/p\u003e \u003cp\u003eLoss Aversion 199\u003c\/p\u003e \u003cp\u003eConservatism and Representativeness 201\u003c\/p\u003e \u003cp\u003eConfirmation Bias 203\u003c\/p\u003e \u003cp\u003eHindsight Bias 206\u003c\/p\u003e \u003cp\u003eAnchoring and Adjustment 207\u003c\/p\u003e \u003cp\u003eThe Narrative Fallacy 208\u003c\/p\u003e \u003cp\u003eProspect Theory 209\u003c\/p\u003e \u003cp\u003eSummary 212\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Generating Returns through Volatility 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Variance Premium 214\u003c\/p\u003e \u003cp\u003eReasons for the Variance Premium 220\u003c\/p\u003e \u003cp\u003eSummary 222\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 The VIX 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe VIX Index 224\u003c\/p\u003e \u003cp\u003eVIX Futures 225\u003c\/p\u003e \u003cp\u003eVolatility ETNs 227\u003c\/p\u003e \u003cp\u003eOther VIX Trades 229\u003c\/p\u003e \u003cp\u003eSummary 230\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Leveraged ETFs 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLeveraged ETFs as a Trade-Sizing Problem 234\u003c\/p\u003e \u003cp\u003eA Long-Short Trading Strategy 234\u003c\/p\u003e \u003cp\u003eOptions on Leveraged ETFs 235\u003c\/p\u003e \u003cp\u003eSummary 237\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Life Cycle of a Trade 239\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePretrade Analysis 239\u003c\/p\u003e \u003cp\u003ePosttrade Analysis 245\u003c\/p\u003e \u003cp\u003eSummary 247\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Conclusion 249\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSummary 252\u003c\/p\u003e \u003cp\u003eResources 253\u003c\/p\u003e \u003cp\u003eDirectly Applicable Books 253\u003c\/p\u003e \u003cp\u003eThought-Provoking Books 256\u003c\/p\u003e \u003cp\u003eUseful Websites 257\u003c\/p\u003e \u003cp\u003eReferences 261\u003c\/p\u003e \u003cp\u003eAbout the Website 273\u003c\/p\u003e \u003cp\u003eAbout the Author 279\u003c\/p\u003e \u003cp\u003eIndex 281\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48866369077591,"sku":"9781118347133","price":46.4,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118347133.jpg?v=1722278320","url":"https:\/\/bookcurl.com\/products\/volatility-trading-website-9781118347133","provider":"Book Curl","version":"1.0","type":"link"}