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Determinants of Implied Volatility Movements in Equity Options: How to measure and hedge the implied volatility risk in options portfolios - Softcover

Angelo, Dr. Christopher

 
9783639338348: Determinants of Implied Volatility Movements in Equity Options: How to measure and hedge the implied volatility risk in options portfolios
Softcover
ISBN 10: 3639338340 ISBN 13: 9783639338348
Verlag: VDM Verlag Dr. Müller, 2011

Inhaltsangabe

This book introduces the idea of volatility as an asset class. Implied Volatility for individual U.S. Stocks are examined extensively. The first chapter defines the notion of implied volatility movements and its interaction with fundamental variables related to the underlying stocks. The second chapter introduces a stochastic implied volatility model for U.S. Stocks and shows how most stocks react to one easily measured common factor. This factor is very robust and liquid to trade. The final chapter examines the risk premia in straddle returns and how to hedge an options portfolios implied volatility risk.

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Über die Autorin bzw. den Autor

Dr. Chris Angelo has an excellent skill-set of market experience, advanced computational skills, complex statistical modeling, and the modeling of options pricing. He is an expert in Statistical analysis of multi-asset Implied Volatility Time Series modeling and forecasting. He earned his PhD in Finance from the University of Texas.

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Verlag
VDM Verlag Dr. Müller
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
3639338340
ISBN 13 
9783639338348
Einband
Taschenbuch
Anzahl der Seiten
60
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
VDM Verlag Dr. Müller
customerservice@vdm-vsg.de

Brivibas gatve 197
Riga
1039
Lettland