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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market - Softcover
Inhaltsangabe
In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.
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Reseña del editor
In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap...) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.
Biografía del autor
Dr. Giacomo Maria Mustarelli is currently a student at Imperial College, Uk, London in MSc Risk Management and Financial Engineering. He received his Bachelor in "Economics, finance and law for business administration" from "La Sapienza" University in Rome and he earned a MSc in Finance and Insurance in the same university with the highest grade.
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Verlag:
Edizioni Accademiche Italiane, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
Neu
Softcover
Anbieter: moluna, Greven, Deutschland
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mustarelli Giacomo MariaDr. Giacomo Maria Mustarelli is currently a student at Imperial College, Uk, London in MSc Risk Management and Financial Engineering. He received his Bachelor in Economics, finance and law for business admini. Bestandsnummer des Verkäufers 151401701
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Verlag:
Edizioni Accademiche Italiane Jul 2015, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
Neu
Taschenbuch
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Taschenbuch. Zustand: Neu. Neuware -In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 160 pp. Englisch. Bestandsnummer des Verkäufers 9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies
Verlag:
Edizioni Accademiche Italiane Jul 2015, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
Neu
Taschenbuch
Anbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons. 160 pp. Englisch. Bestandsnummer des Verkäufers 9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies : Analysis of strategies on the volatility market
Verlag:
Edizioni Accademiche Italiane, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
Neu
Taschenbuch
Anbieter: AHA-BUCH GmbH, Einbeck, Deutschland
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Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In the aftermath of the Financial crisis the volatility market started to have an important role in the financial panorama. Indeed, hedge fund and Investment banks decided to create desks to deal with this issue. The aim of this book is to analyse the different ways to compute the volatility by highlighting the limits of classic strategies (straddle, strangle, strip, strap.) in order to take a position on the volatility market. The use of Variance or volatility swaps has been suggested as a solution of these limitations. This issue will be analysed in detail in the third chapter using also MATLAB codes to back-test some strategies (rolling short variance swap, correlation trading and variance swap on equity). Moreover, a limitation of variance swap when this is applied on VIX (selling variance swap on VIX when VVIX has some conditions) will be demonstrated and eventually strategies on VIX and VVIX will be analysed, taking into account their pros and cons. Bestandsnummer des Verkäufers 9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
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Edizioni Accademiche Italiane, 2015
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ISBN 13: 9783639772791
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The volatility derivative marketVariance Swap and VIXVVIX strategies Analysis of strategies on the volatility market
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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
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Edizioni Accademiche Italiane, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
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The volatility derivative market:Variance Swap and VIX/VVIX strategies: Analysis of strategies on the volatility market
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Edizioni Accademiche Italiane, 2015
ISBN 10: 3639772792
ISBN 13: 9783639772791
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The volatility derivative market
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ISBN 10: 3639772792
ISBN 13: 9783639772791
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