Volatility as an Asset Class: A Guide to Buying, Selling and Trading Third Generation Volatility Products

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9781904339717: Volatility as an Asset Class: A Guide to Buying, Selling and Trading Third Generation Volatility Products
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Reseña del editor:

The most notable change is the opportunity to trade volatility, there are now volatility, corridor and covariance swaps as well as gamma and correlation trades available. The market for these contracts is expected to grow exponentially over the next few years. In fact it is quite possible that they will grow almost as quickly as the credit derivatives market and as a result this market desperately needs this comprehensive reference.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 new 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; unique aspects of these non-physical contracts; a review of the market; trade ideas; the connection between stock, volatility and credit; and, how the models are calibrated to the market. This book is recommended reading for hedge fund managers, risk managers, traders, front-, middle- and back-office personnel and software designers or anyone looking to take advantage of this growth market.

Biografía del autor:

Izzy is president of Super Computer Consulting, Inc. in Northbrook, Illinois. Super Computer Consulting Inc. specializes in complex derivatives, structured products, risk management and hedge funds. Izzy holds a Ph.D. in Computer Science from Rutgers University and was on the faculty at the University of Toronto. Izzy's firm has many consulting clients including several regulatory bodies, major broker-dealers, large and medium sized banks as well as hedge funds. Izzy is a lecturer at the prestigious mathematics department at the University of Chicago. He teaches numerous courses and seminars around the world on a variety of topics. Izzy's seminars are known for being non mathematical. Instead they combine cutting edge analytics with real world applications and intuitive examples. Izzy is a member of the Chicago Board Options Exchange New Products Committee.

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