Israel Nelken Volatility As An Asset Class

ISBN 13: 9781904339717

Volatility As An Asset Class

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9781904339717: Volatility As An Asset Class

With the many changes that have occurred in the field of volatility in the capital markets, exchanges across the world are planning to introduce volatility trading. Volatility as an asset class brings together the best techniques from both academics and practitioners.

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;
  • 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.

"Sinopsis" puede pertenecer a otra edición de este libro.

About the Author:

Izzy Nelken 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.

"Sobre este título" puede pertenecer a otra edición de este libro.

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